To download long reddit threads without going crazy, the most direct way is to use the reddit page itself with a simple trick, if you take any URL from the thread and add something to the end, the page will return the entire post structure with the main comments, the problem is that in very long threads, Reddit doesn't show you all the replies at once; it loads them in batches.
For huge threads, you can use a regular reddit account and a python tool called PRAW, with it, you can ask reddit to replace the load more comments buttons and retrieve the entire tree of replies and sub replies, however, if the thread has five thousand comments, this can take quite a while because each request to reddit takes time.
For very old or massive threads, there are external services that archive historical comments and allow you to consult them without the strict limitations of the official API, but for everyday use, having an established account and using reddit's tools from a well configured browser is sufficient, the important thing is not to submit queries too quickly in a row, as reddit may temporarily block you, patience and taking breaks are key.