I believe that this is something Funcom already has in mind, and the ability to store Thralls in chests are just here as a palliative.
But either way, I think thralls should never be able to go to your inventory, instead they will be placed in the nearest cage in related to the wheel when it’s done. This cage should work as a container which only accepts Thralls, some have only one slot, others can have more than one. It could just have a default Thrall model inside it, like how the wheel itself works. If you want to transfer it from one place to another you should ask for them to follow you or maybe use the rope.
It’s a small thing, but immersion matters a lot in any game, if it didn’t, I wouldn’t be here asking it.
EDIT: English is not my mother language, so I revisited the text to correct some semantic flaws.