I can't seem to make one.

You can't make one. The only thrall you have is

Your best bet is the Dead Thrall master conjuration spell. That is about as close to a thrall as you are going to get. A permanent thrall atleast. No real vampire thralls unless except the one mentioned by the previous poster. This thrall is mostly useless though.

There are certain requirements to get the spell. You should look into it. Best of luck to you and maybe they'll add something similar in a patch one day.

Yes, you must kill a vampire then dead thrall(spell) him to make him a permanent follower.