Depending on which game you have, you may need to buy him as DLC as you need to do with Persona 5, Persona 5: Royal, Persona Q: Shadow of the Labyrinth, and Persona Q2: New Cinema Labyrinth. In regards to Persona 3, you only need to complete the Death Social Link with Pharos, which progresses automatically. Since there are no Social Links in The Answer Epilogue, you can go ahead and fuse Thanatos once you meet the required level.