Yarn that's a bit of a thrill to read! (6)
I believe the answer is:
thread
'yarn' is the definition.
(I know that thread is a type of yarn)
'bit of a thrill to read' is the wordplay.
'bit of a thrill' becomes 'th' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'th'+'read'='THREAD'
'that's a' acts as a link.
Can you help me to learn more?
(Other definitions for thread that I've seen before include "The rib going around a screw" , "Fine strand" , "The spiral ridge of a screw" , "Cord - Internet chat room discussion" , "'Strand of cotton, silk etc (6)'" .)