An easy way to kill Thanatos is in the mission "Decisions Decisions". Get all the items you need up the the point where you get the "Daylight".

Get all three or even two of them. Then get to the final fight with Thanatos. Then go to the tank looking things which is the Ampoule Shooter. You install or use the "Daylight" on this.

Then wait until Thanatos does his jumping attack to shot. It is almost a gaurenteed shot. It is easier to do with Cindy or Alyssa because he rarely comes after these characters. When you hit him one time with it he should be dead.