My wx GUI shows thumbnails, but they're slow to generate, so:

The program should remain usable while the thumbnails are generating.
Switching to a new folder should stop generating thumbnails for the old folder.
If possible, thumbnail generation should make use of multiple processors.

What is the best way to do this?
Putting the thumbnail generation in a background thread with threading.Thread will solve your first problem, making the program usable.
If you want a way to interrupt it, the usual way is to add a "stop" variable which the background thread checks every so often (e.g., once per thumbnail), and the GUI thread sets when it wants to stop it. Ideally you should protect this with a threading.Condition. (The condition isn't actually necessary in most cases—the same GIL that prevents your code from parallelizing well also protects you from certain kinds of race conditions. But you shouldn't rely on that.)
For the third problem, the first question is: Is thumbnail generation actually CPU-bound? If you're spending more time reading and writing images from disk, it probably isn't, so there's no point trying to parallelize it. But, let's assume that it is.
First, if you have N cores, you want a pool of N threads, or N-1 if the main thread has a lot of work to do too, or maybe something like 2N or 2N-1 to trade off a bit of best-case performance for a bit of worst-case performance.
However, if that CPU work is done in Python, or in a C extension that nevertheless holds the Python GIL, this won't help, because most of the time, only one of those threads will actually be running.
One solution to this is to switch from threads to processes, ideally using the standard multiprocessing module. It has built-in APIs to create a pool of processes, and to submit jobs to the pool with simple load-balancing.
The problem with using processes is that you no longer get automatic sharing of data, so that "stop flag" won't work. You need to explicitly create a flag in shared memory, or use a pipe or some other mechanism for communication instead. The multiprocessing docs explain the various ways to do this.
You can actually just kill the subprocesses. However, you may not want to do this. First, unless you've written your code carefully, it may leave your thumbnail cache in an inconsistent state that will confuse the rest of your code. Also, if you want this to be efficient on Windows, creating the subprocesses takes some time (not as in "30 minutes" or anything, but enough to affect the perceived responsiveness of your code if you recreate the pool every time a user clicks a new folder), so you probably want to create the pool before you need it, and keep it for the entire life of the program.
Other than that, all you have to get right is the job size. Hopefully creating one thumbnail isn't too big of a job—but if it's too small of a job, you can batch multiple thumbnails up into a single job—or, more simply, look at the multiprocessing API and change the way it batches jobs when load-balancing.
Meanwhile, if you go with a pool solution (whether threads or processes), if your jobs are small enough, you may not really need to cancel. Just drain the job queue—each worker will finish whichever job it's working on now, but then sleep until you feed in more jobs. Remember to also drain the queue (and then maybe join the pool) when it's time to quit.
One last thing to keep in mind is that if you successfully generate thumbnails as fast as your computer is capable of generating them, you may actually cause the whole computer—and therefore your GUI—to become sluggish and unresponsive. This usually comes up when your code is actually I/O bound and you're using most of the disk bandwidth, or when you use lots of memory and trigger swap thrash, but if your code really is CPU-bound, and you're having problems because you're using all the CPU, you may want to either use 1 fewer core, or look into setting thread/process priorities.
Python: Interruptable threading in wx