As a general rule of thumb, initial 'th' is voiced in function words (the, then, there, those, that, this, though) and unvoiced in other words (thistle, thumb, third, theory, thorn, thing).
Initial 'thr' (through) and 'thw' (thwart) are always unvoiced.
I don't know the reason for this.
English [θ] and [ð] are dental fricatives.
There are actually a couple of different ways of forming these sounds: The tongue tip can approach the back of the upper teeth, but not press against them so hard that the airflow is completely blocked.
Emerging readers practice recognizing beginning consonant sounds by listening to and then reading words and stories that have beginning consonants.
For many children, practicing the ability to recognize sounds in words can make a big difference in how fast they learn to read.