I have an MS-SQl database. Is it possible to save mapinfo *.thm files to a database as I would save mapinfo *.tab files?
Not really, *.thm files are thematic style files and MapInfo can only read them from the Themes directory and the table itself doesn't know anything about the .thm files.
You're not really storing the .tab file in the database, the .tab file is more a link to the data in the database. It just tells MapInfo where to go to get the data and what fields it has.
EDIT If you go to Options (Menu) -> Preferences -> Directories -> Theme Templates you can set the directory that the themes are stored, set that to a shared drive (network drive or other). Make sure everyone else is pointing to the same place and you will all have the same theme templates.