There is a considerably earlier instance of "a Good Thing" than in W.C. Sellar & R.J. Yeatman's 1066 and All That. From George Ade, People You Know (1903):
Gentlemen who were getting along without Overcoats came in to see him [Jasper] about Mining Stock that was sure to touch Par by January 1st. The only Reason they came to him first, instead of tackling John W. Gates, was that he had always been a True Friend and they wanted to put him next to a Good Thing.
Ade, who was from Indiana, had a proclivity for capitalizing Words of Special Import in his writings, which tended toward the Slangy and the Arch. Ade's books were quite popular in his heyday, during the first quarter of the twentieth century.
For a related discussion of semi-random capitalization of common words in texts from the early 1900s onward, see the EL&U question on Capitalization in mid-20th century British English. I suspect that various writers (Ade, A.A. Milne, and Sellar & Yeatman among them) may have independently hit upon this tactic of using nonstandard capitalization as a source of mirth—but Ade was earlier at it than the others I've named.