I think Spartacus himself was surprise at his own success, and honesty didn't know what to do long term. (Which cost him.)
I mean, can you blame him? He won several battles against the most powerful state in the ancient world with no supply lines, very little equipment, almost no training, and zero long-term strategy. I'd be surprised too. But moving on, it's not his fault for failing to consider the long term, because what could he possibly have done in the long term to begin with? By this point, Rome's dominance in the Mediterranean was already more-or-less a done deal (given the recent defeat of Pontus), and there were no serious threats to their power over Europe, so there's nothing he could do to appeal to Rome's enemies or achieve any sort of concrete gains. His best bet was crossing the alps and getting the heck out of dodge. He didn't, and we can assume he had a reason for this, but we simply don't know it.
While we're at it: Why Sicily anyway? It's in the center of the Roman Empire, they'd be caught like in a hole... Thrace only became Roman in 44AD. (Of course, from Sicily you can go to Thrace.)
The answer is in the map. There's only two directions you can go partner. He couldn't go North (for whatever reason), so that leaves Sicily. Plus there had been two major slave revolts in Sicily in 135 and 104 BCE, so there's a possibility he may have wanted to either try and capture the island or, as you suggested, use the island's mercantile prowess to escape to somewhere else (Egypt, Thrace, Illyria, etc). Also, at this time, piracy was still a problem in the Mediterranean, and thus the Roman navy wasn't totally unchallenged, and they may have been able to hold the island for some time with a sufficiently large force. Furthermore, Spartacus was a poorly educated slave, so it's unlikely that he had the extensive knowledge of the gaps in Rome's sphere of influence that we have today, so suggesting "Spartacus should have gone to Thrace" is all well and good, but we have history and hindsight on our side, whereas Spartacus was likely illiterate.