Agresive yet competent...
I'd guess that Thatcher would, first off, inform the Iranian government that they needed to resolve the situation, quickly. Officially, the hostages weren't taken by any government organization, but by some students--now criminals. So, it's the responsibility of the Government to deal with the situation. What happens next does depend on the Iranian reaction...
Margaret Thatcher used the correct channels in the Falklands Crisis of OTL, resorting to force only when Argentina refused to do what was demanded. (Preparing to use force, she did almost at once, IIRC, but even preparing a fleet is part of the diplomatic dance. That's why I think she'd go through channels..and have the SAS in place, so that, when and if Britain had to take action, that action would be taken RIGHT AWAY.