Thr: array [1..Cnt] of TMyThread;

procedure TForm1.Button1Click(Sender: TObject);
var i:Integer;
begin
  for i:=1 to Cnt do
    begin
      Thr[i] := TMyThread.Create(True);
      Thr[i].FreeOnTerminate := True;
      // Nochwas machen
      Thr[i].Resume;
    end;
end;

  for i := 1 to Cnt do
    begin
    if Thr[i] <> nil then
      begin
        Thr[i].Terminate;
        Thr[i] := nil;
      end;
    end;