No they do not change your thyroid, but can alter it's output, meaning the ratios of T2/T3/T4. So in a way yes and no. High doses of test can. This is why many advocate taking a small dosage of 20mcg of t3 during all test bulking cycles.
It can decrease your thyroid hormone output, but unless you get really bloated on a heavy cycle there is no real need to take supplemental thyroid hormone.