Thresh, the Chain Warden is my favorite support in the game right now. However, you have to know how to use him. He can be challenging at first, especially with the flays, but learning him is well worth it. He's a tanky long ranged champion, but not as tanky as some like Leona. In order to use him, you need to know how to land skillshots, use lanterns correctly, and flay the right way. The "right way" to be flayed depends on your situation. If you're running, you don't want to flay them towards you, and if you're chasing you don't want to flay them away.

Boots of Swiftness: Better than boots of mobility because it allows you to constantly chase
Talisman of Ascension: Gives armor, CDR, and health regen, as well as a mini Sivir ult. This gives great lane sustain, damage reduction and chasing.
Locket of the Iron Solari: Gives your team MR and shields and gives you health and health regen. Better team survivability and better sustain for you. Also, more CDR.
Frozen Heart/Zeke's Harbinger: Use Frozen Heart if you need more armor or have a more ability dependent ADC, or don't always stick with them. If you are always by your ADC's side, I would recommend Zeke's.
Zz'Rot Portal: Gives armor, magic resist, health regen, extra pushing power. Great late game item because it gives pressure and allows you to stay out more without recalling.
Ruby Sightstone: I saved this for last because it compliments your Talisman, Locket, and Zz'rot by giving you faster recharge on them. Other than that, it's a must have item for supports if you don't have the sightstone built into your gold item. Gives lots of vision on the map, don't forget to use it.
Oracle Alteration: Don't forget to get this item, it is essential after you have sightstone. Since sightstone allows you to get vision while freeing up a trinket slot, you would obviously go for the item that gets rid of your enemy's vision and helps you see invisible enemies.

If you have the 45% CDR and can land those pulls correctly, you will have a 3.6 cooldown time on your Q. With max CDR it is a 6.6 cooldown, but if you land it, it is reduced by 3 seconds. Your Q stuns and pulls for 1.5 seconds, so in total that's only 2.1 seconds for your enemies to run after it wears off, which is hardly anything. If you continue pulling and flaying, your enemy will make no progress at all running, unless they have an escape move. Besides, at the start of the game, the cooldown is 22 seconds. Who wants that?

Sometimes when a nearby minion, monster, or champion dies, it will drop a soul. Large minions, large monsters, and champions always drop souls but the rest are randomized at around a 1/5 chance. Souls give 0.75 armor and 0.75 AP each, which if stacked correctly, can help you a lot throughout the game. To pick up a soul, simply walk up to it or throw a lantern at it if it's too dangerous.

What some people (mostly beginners) don't realize is that Thresh's W, Dark Passage, can collect souls for you, so you don't have to walk over to them. This is extremely useful in the laning phase where if you try to collect your souls the enemies will thoroughly shoot you a new anus. The other three uses are pretty obvious. It can be used to give a shield, give a tiny bit of vision, and transport teammates either out of danger or into a fight. Note that the shield only effects one ally, the first person the lantern touches.

Note: Abilties in () are optional depending on the situation, IE (W) would be if your teammate is in trouble or far away from you.

Basic combo: Q Q (W)(R) E

That's really the only combo you need to know, but don't use it if you're afraid it might kill you or your ADC as the second Q can put you in great danger.

I've told you all the basics you need to know, and if there's anything else, you'll learn it along the way. This has been my second guide, so it's not perfect, and you're always welcome for criticism.

The build was inspired by of Bunny FuFuu, the challenger level NA Thresh god.