TMyThread = class(TThread)

 private
    FCS: RTL_CRITICAL_SECTION;

    FH TidHTTP;
    FS: TIdIOHandlerStack;
    CM: TIdCookieManager;
...
 protected
    procedure Execute; override;
...
 public
    constructor Create;
    destructor Destroy; override;
....
....
procedure TMyThread.Execute;
var text:string;
begin
  {}
  FH := TidHTTP.Create;
  FS := TIdIOHandlerStack.Create;
  CM := TidCookieManager.Create;
  {--//--}
  FH.IOHandler := FS; 
  FH.HandleRedirects := true;
  FH.CookieManager := CM;
  FH.AllowCookies := true;
...
text := FH.Get('');
...
end;

constructor TMyThread.Create;
begin
  inherited Create(True);
...
  FreeOnTerminate := False;
  InitializeCriticalSection(FCS);
  Resume;
end;

destructor TMyThread.Destroy;
begin
  FreeAndNil(FH);
  FreeAndNil(FS);
  FreeAndNil(CM);
  DeleteCriticalSection(FCS);
end;