GW were a right-wing project, or at least an agitprop project, so they put Thatcher in to wind up the left. She was seen as being an anti-society figure, GW were anti-society. Clearly they didn't agree with her completely, I don't remember them being being capitalists for example. But they probably saw anti-Thatcher sentiment all around them in the art underground, so they did it as a counter-revolution, a rebellion against the rebellion. Just watch the '80s sitcom The Young Ones, and you'll see it was so common for leftist students to be anti-Thatcher that it was already being parodied.
Does anyone have any of the Grey Wolves comuniques / newsletters?