You can put used dryer sheets in a sealed bag or container with the thread.

Baking powder will work wonders too. Put into a zip lock.

Before you bother with trying to get the smell out, determine if the thread is still any good. Old thread rots. Unwind some and see how hard it is to break it with your hands. If it's not hard to break, I wouldn't use it.

Place in a bag with a few briquettes of charcoal, just like you use in your grill.