It’s called a an OpenType glyph substitution or ligature.
See this tutorial to learn how to do it in FontCreator 7. If you want your font to always make the substitute then use the liga feature. If you usually want “th” to be displayed as “th” and only sometimes as a fricative, use the dlig feature.
Be aware that not all applications support OpenType glyph substitutions (GSUB).
If you don’t have FontCreator Professional or Standard Edition, it’s worth upgrading (see my FontCreator Review), or it can be done using the OpenType compiler or VOLT.