I used to keep about 1500 sheep in Australia and the only answer I know is to shear them. Attempting to comb them out is likely to meet with a lot resistance from boht the sheep and the thistles. Cuting them out will give you a weird looking animal. Old McDonald.

Jonathan, while shearing them seems the most ideal, consider that fact that ice cold temperatures are just around the corner for you in MA. Do you have a heated barn for those that have been shorn? It may be that you have to cut out the burrs that are the most problematic and let the rest go for the winter. I'd concentrate on joint areas where their movement would cause wool from one area (the belly) to attach to adjoining areas ("arm pits").
Good luck with them. I'm sorry they chose this late in the year to snack on thistle.