egg: Accomodate thread-safe libgcrypt 1.6+

libcrypt no longer supports setting our own threading callbacks,
and is thread-safe if we call gcry_check_version() before creating
threads.

Unfortunately we can't guarantee that we call gcry_check_version()
early enough, we try our best. Most of the callers of Gcr either
don't use libgcrypt, or also initialize it appropriately themselves.

Bump libgcrypt dependency to 1.4.5+, and have earlier versions use
the native pthread implementation of locking.