h2g2 The Hitchhiker's Guide to the Galaxy: Earth Edition

Thurber wrote quite a bit about himself. The first place to go for information is his autobiography:

'My Life and Hard Times' by James Thurber

'The Years with Ross' by James Thurber
Like all New Yorker writers, Thurber is incapable of writing about the New Yorker without also writing extensively about himself.

'Here at the New Yorker' by Brendan Gill
Didn't like Thurber, so he gives a pretty round portrait of him.

'The Thurber Letters: The Wit, Wisdom, and Surprising Life of James Thurber'.
I found it getting tedious pretty quickly, but I'm not much of a fan.

'Collecting Himself' by Michael J. Rosen
A collection of never published pieces by Thurber. Many are autobiographical - or sound like it. You can never tell. Very good read.

'Remember Laughter: A Life of James Thurber' by Neil A. Grauer
I haven't read it, but it's there for the reading.

Of course he also shows up in everyone else's biographies and letters (most notably Andy White and Harold Ross's). He comes in for a brief, unflattering mention in Ved Mehta's bio of Shawn.