Should there be a comma after 'I thought' if this phrase is followed by an italicised thought?

Yes, you can separate any reporting clause from direct speech or direct thoughts with a comma. Cambridge explains the rule with literally spoken words, but the same is true for thoughts and for methods of representing quotation like italics. Grammar Book gives this example:

I lied, Charles thought, but maybe she will forgive me.

Even without italics, the comma separates the reporting clause (Charles thought) from the thoughts. Here's an example from Daily Writing Tips.

It seemed a needless thing to do, Rachel thought.

Again, the reporting clause (Rachel thought) is separated from the thought. The absence of quotation marks or italics doesn't matter.