You should really go read up on what threads *are* if you need to ask all of those questions. If a thread "looped on its own", how would it ever come to an end?
Long story short, there's a cost associated with starting a thread, so it's clearly better to have the thread loop on its own rather than create and destroy a new thread every frame. Other than that, we can't tell you whether this thread is "good" without evaluating your entire program (which we won't do).
In general you should avoid threads until you really understand what they do and how to synchronize them properly, because they are very easy to screw up and won't offer any meaningful benefit to tiny programs. And you should use C++11's std::thread over sf::Thread if at all possible.
Edit: Maybe this wasn't needed after all but I wrote it all before you posted that so not gonna delete it.