Yes, I found the same option in Thunar, I just had to install a software named thunar-volman, but after installing and configuring it, nothing occurs:
It does not auto-mount the flash memory
but at least, I could manually mount NTFS devices and copy files to them, but no luck with FAT32
Unfortunately, my flash memory has to be FAT32 as it has Hiren't boot which have to be on a FAT32 device.
Anyway, thanks a lot Karlchen and Austin, I think I will have to switch to KDE before copying to a flash memory