[gdb] Initialize main_thread_id earlier

I wrote a patch using is_main_thread (), and found it returning false in the
main thread due to main_thread_id not being initialized yet.

Initialization currently takes place in _initialize_run_on_main_thread, but
that's too late for earlier uses.

Fix this by initializing, either:
- when entering main, or
- on an earlier first use.

Tested on x86_64-linux.

Approved-By: Tom Tromey <tom@tromey.com>