You are making a good start toward a thesis, but at this point, you need to do some finessing. A thesis has to state an opinion that is arguable: in other words, it has to be open to debate. The statement that holding Red Chief for ransom was a difficult task is not open to debate: that is a key fact in the story. Therefore, you need to build on that beginning to create a thesis statement that states a true opinion.
A more arguable thesis would be something along the lines of "If the criminals had not been so over-confident and had, instead, done more research on how to control Red Chief ahead of time, they would have had a different outcome." That is a genuinely debatable idea: many would argue that nothing the two men did would have tamed their captive.
However, you can find evidence in the story that the two got their comeuppance for underestimating their enemy and that they really had no idea how to handle a child.
Any thesis has to be both arguable and supportable. It has to state a strong opinion, and it has to be backed up with facts and quotes that make a convincing case for your point.
If you are in college, you may wish to change your approach to this story and, instead analyze some element of style in O. Henry's "The Ransom of Red Chief" such as the ironic humor. After all, irony is a literary device that O. Henry employs in many of his stories, and this is story is comically ironic throughout. The very opening indicates this element: "It looked like a good thing, but wait till I tell you."
So, with this having been noted, you may use a thesis that points to how the comic irony drives the plot with a series of comic reversals. And, these reversals drive not only the plot, but underpin the theme that is often one of comedy: Sometimes the underdog does win.
Included below are some links to this story that will provide you with some additional insights which may assist you in composing your thesis and direct your writing.