In Casino Heist, the thermal charge is used to blow open the vault door. To use it, you must first find the blueprints for the vault door, which are hidden around the casino. Once you have the blueprint, you can buy the thermal charge from the black market dealer.
When you're ready to use the charge, approach the vault door and place it on the door. Then, use the remote control to detonate the charge. The door will blow open, allowing you to access the vault.