Gunslinger throwing knives do not count towards the Cursed Thrall melee portion of the bounty. As for finding places to fight CT's, just do Sword of Crota story mission on Easy. There should be at least two that spawn during that story mission. Kill one thrall, wait for your shield to regen, kill the other one, abandon activity, rinse & repeat until you kill five and complete that part of the bounty.