Help with Threads

I am having my first foray into using threads, but I am coming unstuck when trying to use sql in one of the threads. I suspect That I am not creating an instance  of the database connection.

Also I think I am also have a problem destroying the threads when I close the App. Can you Help?

Main Thread
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procedure TMyDataParse1.execute;
var
   p: String;
   EndStr, StrCheck: integer;
begin
            Regex1 := TPerlRegEx.Create(nil);
            Regex1.RegEx := RegExpStr1;
            Regex1.Subject := FDataString;
              if Regex1.Match then begin
              StrCheck := 1;
                  if RegExpEnd1 = '1' then begin
                  EndStr := 1;
                  StrCheck := 0;
                  end
                  else
                  Endstr := 0;
                  StrCheck :=1;
              end;
               if RegExpEnd1 <> '1' then begin
                Regex1.RegEx := RegExpEnd1;
                Regex1.Subject := FDataString;;
                if Regex1.Match then begin
                EndStr := 1;
                StrCheck := 0;
                end
                else begin
                EndStr := 0;
                StrCheck := 1;
                end;
               end;


                if EndStr = 1 then begin
                sysStr1 := sysStr1+FDataString;
                CallString := CallConv(sysStr1,PhonesysID1);
                CallString := CallString+',1,1';
                Synchronize(SendCSVData);
                EndStr := 0;
                SysStr1 := '';
                StrCheck := 0;
                end
                else begin
                  if StrCheck = 1 then
                  SysStr1 := SysStr1+FDataString+#13#10;
                end;
end;

procedure TMyDataParse1.SendCSVData;
 begin
 TMyDataCalcuLate1.Create(CallString); // send data to new thread
 Form1.SQLOutData(CallString);
  end;
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TMyDataCalcuLate1.pas thread
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uses
Windows, Messages, SysUtils, Classes, Forms, Dialogs, DateUtils,StdCtrls,DB,passqlite, passql, ComCtrls;

Type
TMyDataCalcuLate1=class(TThread)
  private
  ThreadCollexDB : TliteDB;
  FCalString: String;
  SiteID,SysTimeBandStart, SysTimeBandEnd, SysOffset, SysTOffset :String;
  CallInsert : Pchar;
  public
  constructor Create(CalString:String);
  procedure execute; override;
  function split(Text : string; Token : char ; WordNo : integer):string;
  Procedure SendSql;
end;

implementation
uses
Unit1;
constructor TMyDataCalcuLate1.Create(CalString: String);
begin
  FreeOnTerminate :=True;
  FCalString := CalString;
  inherited Create(False);
end;


Procedure TMyDataCalcuLate1.Execute;
var
debug : integer;
begin
Try
debug := 0;
  With ThreadCollexDB do
  Begin
  ThreadCollexDB := TliteDB.Create(nil, ExtractFilePath(Application.ExeName)+'www\collex.sdb');
  end;
SIteID := '1';

 {**************************************************
 Get System setting from Database
 ***************************************************}
 ThreadCollexDB.Query('SELECT * from sys_col where col_active = 1 and col_id ='''+SiteID+'''');
 if  ThreadCollexDB.RowCount > 0 then begin
 SysTimeBandStart := ThreadCollexDB.Results[0][7];
 SysTimeBandEnd := ThreadCollexDB.Results[0][8];
 end;
end;
end
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