In the preferences there is an option to "Sort folders before files", which works fine when I open Thunar 1.6.3 from browsing my files. However, when I open gedit 3.10.4 or Brasero 3.10.0 and try to open a file by clicking on File > Open, the files and folders are all mixed together.
thunar can't do anything about the gtk file chooser dialogs, they are not part of thunar.