There are three possible ways. First, you can select the device manually and pass it to the Thread constructor:
from reikna.cluda import ocl_api
api = ocl_api()
device = api.get_platforms()[0].get_devices()[1] # or whichever device you want
thread = api.Thread(device)
Alternatively, you can supply inclusion/exclusion masks to Thread.create():
api = ocl_api()
thread = api.Thread.create(device_filters=dict(include_devices='Quadro')) # this will select the first Quadro card
Finally, you can select the device interactively:
api = ocl_api()
thread = api.Thread.create(interactive=True) # this will display a menu with possible options and wait for your input