Congratulations on your new iPhone 4S.
Like you I also like to keep my pictures on every new phone I purchase. My suggestion to transfer the pictures from your HTC Thunderbolt to the iPhone 4S is to first upload the pictures to your PC and then add the pictures to iTunes.
1. Click here for instructions on how to add the pictures to iTunes.
2. Click on the Syncing photos to iOS devices.
3. Scroll down to Sync photos from a folder on your hard disk to your device and follow the steps provided.
Once the pictures have been added to iTune you can sync your iPhone 4S to iTunes and transfer the pictures to the phone.
Click here for instructions on how to sync iTunes and your iPhone 4S.
I trust this information has been helpful. Enjoy your new phone!