I'd be surprised if there were a way to do this in a user-mode debugger.
Imagine: you set a breakpoint for when thread 42 gets switched in. The breakpoint hits. The debugger is activated. Now a different thread is activated, and thread 42 is no longer active!
I suggest you try Process Monitor from Sysinternals (now part of Microsoft). You can limit it to only capture thread and process events, producing something like the following:
20:43:51.9162409 lsass.exe 440 Thread Create SUCCESS Thread ID: 5420
20:43:51.9166730 lsass.exe 440 Thread Create SUCCESS Thread ID: 7916
20:43:53.2990544 svchost.exe 736 Thread Create SUCCESS Thread ID: 5540
20:43:53.7664146 svchost.exe 736 Thread Create SUCCESS Thread ID: 7384
20:43:53.7985662 svchost.exe 736 Thread Create SUCCESS Thread ID: 1888
20:43:54.2444922 wmiprvse.exe 3144 Thread Create SUCCESS Thread ID: 6300
20:43:54.2466447 svchost.exe 736 Thread Create SUCCESS Thread ID: 5636
20:43:54.2480367 wmiprvse.exe 3144 Thread Create SUCCESS Thread ID: 6624
20:43:54.2515443 svchost.exe 736 Thread Create SUCCESS Thread ID: 7392
20:43:55.5332047 devenv.exe 4640 Thread Exit SUCCESS Thread ID: 4696, User Time: 0.0000000, Kernel Time: 0.0000000
20:43:55.9179052 Explorer.EXE 3176 Process Create C:\WINDOWS\system32\verclsid.exe SUCCESS PID: 3356, Command line: /S /C {2559A1F4-21D7-11D4-BDAF-00C04F60B9F0} /I {000214E6-0000-0000-C000-000000000046} /X 0x401
20:43:55.9179079 verclsid.exe 3356 Process Start SUCCESS Parent PID: 3176
20:43:55.9179101 verclsid.exe 3356 Thread Create SUCCESS Thread ID: 7108
20:43:55.9354621 verclsid.exe 3356 Thread Create SUCCESS Thread ID: 940
20:43:55.9521113 verclsid.exe 3356 Thread Create SUCCESS Thread ID: 2704
20:43:56.5259637 verclsid.exe 3356 Thread Exit SUCCESS Thread ID: 2704, User Time: 0.0000000, Kernel Time: 0.0000000
You can do all sorts of other filtering as well, which should allow you to keep the utility running until the problem occurs, even in production.