gdb: add threads debugging switch

gdb: add threads debugging switch

Add new commands:

  set debug threads on|off
  show debug threads

Prints additional debug information relating to thread creation and
deletion.

GDB already announces when threads are created of course.... most of
the time, but sometimes threads are added silently, in which case this
debug message is the only mechanism to see the thread being added.
Also, though GDB does announce when a thread exits, it doesn't
announce when the thread object is deleted, I've added a debug message
for that.

Additionally, having message printed through the debug system will
cause the messages to be nested to an appropriate depth when other
debug sub-systems are turned on (especially things like `infrun` and
`lin-lwp`).