How do you usually equip Thancred right now? What skills/RM do you usually give him? Do you have a Ninja MAG weapon that he can use?
I think it honestly depends on the fight in question.
If the boss is already weak to fire then Thancred should probably stay in, his Imperil won't help but his fire entry and commands will be very nice. If the boss is primarily magic oriented then Thancred should stay in since he'll be able to make use of his 6 hits more often. If the boss is only half weak to fire then Thancred should stay in to make use of his Imperil.
You might also consider tossing Gaia's Cross (and Retaliate/Demonsblood if the situation calls for it) on Orlandeau so he can tank hits and allow you to keep Thancred's mirage status up easier. That way it is easier to make him do the 6 hits. If you use Gaia's Cross and Lionheart RM on Orlandeau he can gain SB bar really quickly as well. If you decide not to bring Lifesiphon you can give him something else like Mirror of Equity or Hailstorm to self boost his ATK. Orlandeau can also make use of Blazing Twinstrike for the Imperil-Fire
If you are going up against anything that is mostly physical or can be countered with Gilgamesh by his Sentinel+Retaliate then I'd definitely bring him. Or if you need a dispel and just can't fit it in to your slots anywhere. Overall Gilgamesh will have synergy in more areas just because of his more expansive equipment selection as well. Gilgamesh can also make use of the self ATK buffs Mirror of Equity and Hailstorm. Since he isn't limited to Wrath he is also able to make use of ATK buffs like Shout more easily.
Against anything weak to Holy definitely kick Thancred to the curb and use Guard Bringer. I think if you really want to use Gilgamesh in a defensive tanking role you'll want to verify with the AI threads whether he can even taunt anything in the first place. If you are normally achieving enough DEF for 4 hits on Guard Bringer (which you should be able to with those buffs) I'd go ahead and give it a try and see how you like it. But I do think that Thancred has an overall higher damage threshold under the correct conditions.
If you absolutely need to, Gilgamesh can also be put in the back row with Blood of the Wyvern and Leaching Leap so he can self heal. The reason you'd want to use Blood of the Wyvern is that you wouldn't want him jumping off screen for a bit and losing his taunt from Sentinel during his Air Time. With Blood though the Leeching Leap's Air Time is instant and does not interrupt your Sentinel tanking.