The difficulty here, for most people, is the first two consonants /ð/ and /θ/. We pronounce both with the front of the tongue just touching the top teeth. For the first sound, you use your voice. If you put your fingers on your throat, you will be able to feel the vibration. The second sound is pronounced the same, but with no voice. Try changing between the two. Be careful to use the back of the tongue for the /ŋ/ sound at the end of “thing”, otherwise, you’ll say “thin”.
In this phrase, “thing” usually means problem, or difficulty.
For example; “I’d love to come to the party, but the thing is, I have to study.”