What about how Dorian has the propensity for corruption without Lord Henry and the yellow book? As Basil says, "All art is unconscious, ideal, and remote?" And, at the end of the novel, Dorian remarks that the imagination orders the chaos of life and gives it meaning. True, Lord Henry is the temptor, but Dorian initiates his own corruption because of his intrinsic narcissism.
Your initial idea is great. A key theme of this amazing novel is the power of corruption and Lord Henry is certainly the character that corrupts Dorian, in spite of the best efforts of Basil to prevent this from happening. You might want to think of a thesis statement like this:
In The Picture of Dorian Gray, Lord Henry symbolises the forces of corruption.
The best secret to writing effective thesis statements is to keep them nice and simple. If you use this thesis statement, you will need to talk about the different ways Lord Henry corrupts Dorian and how he could be said to symbolise the forces of corruption. Good luck and I hope this helps!