[gdb/dap] Factor out thread_log

[gdb/dap] Factor out thread_log

In thread_wrapper I used a style where a message is prefixed with the thread
name.

Factor this out into a new function thread_log.

Also treat the GDB main thread special, because it's usual name is MainThread:
...
MainThread: <msg>
...
which is the default name assigned by python, so instead use the more
explicit:
...
GDB main: <msg>
...

Tested on aarch64-linux.

Approved-By: Tom Tromey <tom@tromey.com>