I've been cursed with this phenomenon since I turned on my first Android phone...
A lot of people are having this problem, though no one really has a fix... It's odd, if memory serves, my first Thunderbolt did not have this problem, but my second one here does. I still have the old bolt, so I'll put the SIM card in that one and see if it has the problem too.
I only lose my data connection when tethering, it's always been that way. For 3G smartphones (my Droid X and Droid Incredible), going to WiFi Settings, then hitting menu, then Advanced, then changing the WiFi sleep policy to "never" ALWAYS fixed the data connection disconnecting problem.
I have a theory that the way 3G works on the Thunderbolt (simultaneous voice and data over 3G) is skewing the data connection, despite the aforementioned fix. That being said, I'll be messing with the EPST settings to see if a setting combination works in my favor... EPST, if you don't know, is the service programming app built in to HTC phones only, it's like QPST except you don't need a computer. Access it by dialing ##778# and hitting "call" if necessary. Edit Mode, and the password is 000000 (six zeroes).
I'll be working on this A LOT over the next few days and update if/when I figure anything out, a fix would be nice lol.