Should I apply soldermask over SMT thermal pads?
As I read the datasheet, it is expected that there will be soldermask over the thermal pad. 

This paragraph from the datasheet seems to be saying that you should only have holes in the solder mask for the pins of the transistor:


  Even if additional planar copper area is used, there should be no problems in the soldering process.  The actual solder connections are defined by the solder mask openings.  By combining the basic footprint with the copper plane on the drainpins, the solder mask generation occurs automatically.


So, your idea of having solder mask over the whole thing with holes just for the transistor pins is correct.