Is it correct to use the word "then" to imply something of the past?

I am trying to identify something that was once a new thing. I used the word "then" to imply the subject as something that is already a past. But I am not sure if this is grammatically and semantically correct. For example:

The team wanted to show the features of the then new Windows XP.

In this case, Windows XP was new. It is not new now. However, does the word "then" imply this meaning?

Also, should it be "then new", or "then-new"?

Yes, it's fine. It means new at the particular time in the past which the speaker or writer has in mind. You don't need a hyphen.

This looks correct to me. You can find many examples of your "then new" usage on Google.

Also, your use of "then new" is used 9 times in the usage examples of the OED 2nd Edition, which should be reassuring.

If you still have doubts, a slight rephrasing might help:

"The team wanted to show the features of Windows XP, which was new at the time."