It's a class function. Make an object of that class, and then call it on that object.
Alternatively, make it a static function of the class (with the static keyword), but be aware that you will then only be able to access static member variables with it.
what can I do to set this object WxGauge within the thread?
Don't do it directly. Store the value in a member variable and then read this variable from a timer event of that window and set it to the WxGauge.
Note that I observed that the timer event may interfere with other events. So use 'wxCriticalSection' especially before you disconnect the timer event.