Simulating Thermal Behavior of a Wound Battery Cell

Yes, you can use the Thicken Shell Mesh tool for that. As mentioned in the thread you linked, selecting layers will be a bit tricky but you can do it with the Set selection toolset - try different options, especially those available after clicking “More” (mainly the Face angle option).

Alternatively, you could keep shell mesh and define composite shell section but this requires manual keyword edits: Curved (orthotropic) composite shell sections