Providing a thread dump is the responsibility of the JVM, not JBossAS. A JVM thread dump always goes to the stdout. You could always redirect stdout to a file when launching JBossAS.
* Use JConsole of VisualVM - they both let you take thread dumps and I believe you can save them to a file
* Use the listThreadDump operation of the jboss.system:type=ServerInfo Mbean. If you did this using twiddle you could redirect the results to a file.
if you want to do it on command you can use jstack (pid) > threadDump.out