Ask the shop where they sells the new thermostats. They'll probably know.
im sure there would be a collection agency.
when i was working on my mates garage converting it we had to get rid of asbestos and what i done was phone the local council and they gave me numbers of collectors and they wasnt cheap.
for a few slabs, teh cheapest i found was £700, £700 for 20 minutes work cus then had to be careful and came dressed in them space suits.
but yeah, there should be a number your local council can give you or in your yellow pages for an agency.
chemical disposal or summet id think it would come under :S
i wouldnt recommend handling them yourself cus if you drop one i dont know what youll be inhaling.
There is an initiative underway to drop off these old thermostats. Hit up this website: http://funadvice.com/r/14svfktongi, enter your postal code and you should find a drop off location closest to you. Good luck with the reno!