I agree with Shizenai and TeacherJan. It is "several thousand of them," without the S.
The reason is that hundred, thousand, million, billion, trillion, etc., only take an "s" when used alone. That is, we say there are hundreds, thousands, millions, billions, and trillions of stars in the galaxy.
However, when these numbers are preceded by an adjective that denotes quantity, we drop the s.
For example, we say:
Three thousand, five million, six billion, seven trillion, etc, but *not* three thousands, five millions, six billions, and seven trillions. (Except perhaps when we want to count the number of these words in a text, say, for example, there are three "hundreds" in this paragraph).
Likewise, we say several hundred of them, several thousand of them, etc.
I will say, however, that saying "several thousands of them" probably does not sound terribly wrong to many people.