If you have a decent compiler (i.e. one that supports C++11 features), I suggest you to forget about
sf::Thread and start using
std::thread.
sf::Thread is most likely going away in SFML 3 anyway and your knowledge of
std::thread you can reuse in myriad of other projects you may be a part of later on.
In fact, I have just realised this is mentioned in the official docs, but I'm keeping it here anyway.