I have a thread object stored in a class:

class MyClass {

 private:
   void Init();
   boost::thread _thread;
}

How can I create it in the implementation code?

MyClass::Init()
{
 // start thread here...
}
 
This way thread object is created by default contructor. You probably wanted something like this:
 
void threadFunc();
 
MyClass::MyClass() : _thread(&threadFunc)
{};
 
Or:
 
class MyClass {
 private:
   void Init()
   {
      _thread.reset(new boost::thread(&threadFunc));
   }
   boost::shared_ptr<boost::thread> _thread;
};