I haven't reached the stage in the game where thralls have become available to me. I just need to know if I should start saving my fire, frost, or void salts to conjure a thrall, or does it just cost a lot of magicka?

It only costs magicka! How much? Depends on your perks and skill in the conjuration tree!

If your Conjuration skill is high enough, summoning costs little magicka. It isn't until you reach mastery, though, that you get to summon Thralls. It does cost a good bit of mackica, but you can summon them before walking into battle since they never unbind unless they are killed. So you can summon them, regen your magicka, then walk into combat.

Yeah you don't need the salts to conjure Atronachs. Just need the spell. Summoning Atronachs doesn't really take a whole lot of magicka. Summoning Thralls takes more.

Early on you can get the spells to summon a thrall for 60 seconds. You can get a spell to bring back to life a weak dead body for 60 seconds without even raising your conjuring level.

Unless you have 500+ magicka... you are going to need to take master perk in conjuration, unless... You have 500+ magic OR you have apparel that lower the cost of conjuration spells.

From my personal experience, I only found Dead Thralls to be worth it.

Flame thralls look cool, and are good for exploding decoys, but otherwise not that useful. Frost thralls are a complete waste. They are to big to fit through most doors, they are slow, have to walk underwater making them even slower, and not very powerful. Storm Thralls move pretty quick and the damage is ok. In melee not so good, but great at keeping mages and archers busy for a long time.

Dead Thralls. Take your pick, the body you choose decides what you get.

As noted you don't need salts. That is the atronach forge, and the atronachs it summons are infinite... but also hostile. You can't exactly take them places with you unless you want to be in battle 24/7 and have them kill all the towns people.

Magicka cost is high, but I wouldn't take perks to cover it. Just create a ring, necklace, etc. with fortify conjuration and fortify magicka. Put them on before summoning then switch to something else. The advantage of these guys is how rarely you will be summoning them.

The spells that need that much magicka aren't available until later in the game anyway so by then their magicka should be pretty high. Mine still wasn't quite high enough but I went looking through my clothing and armor dresser in my house and found some items that raise my magicka and other items that lower the cost of Conjuration spells. Another of the items regenerates my magicka by 150% and that's really helpful too.

Edit: After checking, it's the Robes of Conjuration that lower the cost of casting conjuration spells by about 25% while regenerating magicka 150% faster.