Alignment of RGBD with a thermal camera
Step 2 is just a change of coordinate system from one camera's coordinate system to the other camera's coordinate system.  It's easy to do, using a "change of basis".

The extrinsic parameters of the depth camera tell you how to transform from the depth camera's coordinate system to the world coordinate system (a transform between two 3D coordinate systems).  The extrinsic parameters of the thermal camera tell you how to transform from the 3D world coordinate system to the thermal camera's coordinate system.  If you combine these two transformations, you have a way to transform from Depth_3D to Ther_3D.

So if you have the extrinsic parameters, you should already know how to do this.

See, e.g., https://en.wikipedia.org/wiki/Pinhole_camera_model and https://en.wikipedia.org/wiki/Camera_matrix and https://en.wikipedia.org/wiki/Camera_resectioning, or any textbook that describes camera intrinsic and extrinsic parameters.