Ok, lacking either of the previous Chill books on this, here is my quick and dirty thoughts.
1) Be absolutely certain you want to allow PC Things in your campaigns. They are almost guaranteed to add complications and will quite likely overshadow humans, especially if no humans in he croup have any paranormal abilities.
2) Use the stats provided in the book to generate the Thing the same way you would if it was a detailed encounter. A few things will have skills, but many won't. Not a lot of Trilliad computer programmers after all.
3) Have fun. If you can track down the old FOX series Werewolf it has some ideas for a reluctant werewolf PC type.
The biggest question that needs to be answered, at least partially, is what is the Nature of Things, and how do they relate to the normal world. Are they manifestations of 'EVIL' and utterly irredeemable, are they "natural" but as yet unknown, unnatural but not neccessarilly evil? The answer will have a lot to tell about whether PC Things are even possible.