Some people recommend Anchoring - putting items that shouldn't be deleted from the game into your dead thrall's inventory. It hasn't ever worked that well for me unfortunately but others swear by it (check out Adam Warlock's thread "living with the dead" for tips).
There are several lists of thralls that shouldn't disappear (check the wiki/google) and some of them are pretty great (Orchendor). Unfortunately disappearing thralls is a side effect of the dungeons you captured them from resetting so it is unlikely to be patched anytime soon. This is the reason (i think anyway) that Orchendor and other permanent thralls don't disappear since their dungeons mostly don't reset. PC players can just load mods / respawn their favourite thralls.
The only sure fire way of not having your thralls disappear is to keep your thralls in view whenever you fast travel / wait and then load the last quicksave from when they were last present every time they go missing. It means replaying small sections every now and again but it's allowed me to keep dremora markynaz mages going for months / have Ulfric and Vyrthur by my side for whole playthroughs.
Storing kind of worked before the patches were introduced but it would be a bit extreme to delete the patches and DLCs just to be able to store thralls. Most thralls cannot be stored for more than 10 days (this is the reset time for most dungeons) - NB that's 10 days from when you captured them. Some thralls will disappear almost as soon as you leave them behind anywhere (including my personal favourite - the Traveler).