The only thing you must NOT do in a Thread is to do anything that affects a GUI object, that is Forms and Controls, as that may cause a crash. Thread events are there to help out with this as events run on the main GUI thread so you can effectively access GUI elements from a thread by using a thread event.
All other objects have no thread affinity and may be used as required. However you may need to be careful that the main thread and any threads you create do not try to use the same object at the same time. Sometimes it is OK, other times it is not, it depends upon your program and the objects in question. Use the RunLocked methods to ensure safe access to shared resources by separate threads.