Pronoun reference & other enigmas in a poem by H. D. Thoreau

Solution 1:

"They" seems to me to be a generic or hypothetical crowd from which the poet separates himself in this moment of inspiration. See later the reference to

It doth expand my privacies

To all, and leave me single in the crowd.

"In my day"

is IMO

"In my moments/scenes that are [when compared with the ordinary rest of my [spiritual] existence] suffused/filled with light, so that can be regarded as days."

The light might mean understanding. His inspiration becomes so strong it overcomes even the conceptual sun of such "days," it becomes stronger than plain understanding, carrying him to a higher spiritual plane.