How can I disconnect from all WiFi networks, yet leave WiFi antenna on so Internet Sharing will work properly?
Change your network profile so that the preferred order has your thunderbolt connection at the top. This will make OSX use it over wifi even if a known wifi access point is available. 

With a working internet connection just configure internet sharing and it should just work. 

I know from experience that this works, I have done it many times on snow leopard, should work the same way on later releases of osx.