Inspired by a post over here at wow.com. Of course, my method of leadership is probably not Thrall's, but I thought the question was interesting enough to answer.
If I were Thrall, the first thing I would do is to sit down and have a long chat with Sylvanas. She and the Forsaken need to get this death to the living thing stopped. Not to mention the elephant in the room about what they do now that Arthas is dead. I'd want to have a clear picture of what she sees as the future of her race, and make sure that she understands that if she wants the aid of the rest of the Horde in accomplishing this future, that changes need to be made.
Second, I'd start looking into other places to get my lumber. Azshara maybe? Not as many trees, but also not as many pissed-off elves. Also, lots of extra stone lying around there for building.
Third, reclaim land. There's a lot of problems in Durotar and the Barrens and Mulgore, and these need to be straightened out before we attempt to expand further. Our foundation is weak, and we should not build until we strengthen it. Once we deal with the centaurs and the quillboars and Manrick's wife, then we can consider further expansion. Oh, and we need to clean up parts of the Eastern Kingdoms as well. The sindorei and the forsaken are part of the Horde, and if we don't make an effort to help them and bring them into the fold, they're going to continue being a bit maverick.
And last, but not least, I'd make sure my vision of the future of the Horde was well-known. I envision a future where there are no harpies in Durotar, where the trolls have the Echo Isles again, where the tauren roam their homeland freely without fear of centaurs, where Eversong Woods and Tirisfal Glades are free of the unthinking dead, and where the Undercity doesn't smell quite so bad.
Once we've accomplished all of this, I say we wipe the Alliance from Eastern Kalimdor and from the Northern Eastern Kingdoms. I do have all these warriors after all, and they need SOMETHING to do.