Xubuntu 18.04
I don't use Xubuntu much but the little magnifying glass is under File
in Thunar 1.6.15 and works without any further steps:

Ubuntu 18.04
One has to install thunar
and catfish
. Even after installing catfish
, the search option doesn't appear.
To fix this,
open Edit
> Configure custom actions
Click on the +
sign to open a new child window
In the tab titled Basic
, enter Search for files
in the Name box
In the Command
box, enter catfish --path=%f
or choose something from the command parameters provided
Then open the Appearance Conditions
tab. In there, enter *
as the File Pattern and tick the appropriate choice below Appears if selection contains:
Click OK
. Close the Custom Actions
window.
The next time you open Thunar, you should see the option to Search for files
when you click on File
in Thunar's menu bar.

More reading: https://docs.xfce.org/xfce/thunar/custom-actions
Edits:
I've noticed a couple of cases in which Catfish didn't list all the relevant files. This was both in Xubuntu and Ubuntu. I'll make a separate question about that.
As rubo77 suggested in a comment, searchmonkey
is a suitable alternative.
apt install searchmonkey
and added this line instead:searchmonkey -d %f
works fine ;) – rubo77 Oct 20 '18 at 14:00