Yes, I think you've found the best way to handle it - basically put a frame breaker script on the thanks page. You might want to look up frame breaker scripts, there's probably a more sophisticated version that you want to use - these scripts have been around for a while for purposes such as capturing traffic from Google Image Search.
It's also worth noting that the default behavior of displaying the thanks page inside the iframe can actually work out well if you design the thanks page to fit within the frame - that is, if the thanks page is basically just a little bit of text. Then when you fill out the form, the form disappears and is replaced with confirmation text, which I personally think is a better UX than being redirected to another page anyway.