A Dame is the female version of a Knight - a Knighthood is (generally) a non-hereditary title, it's not passed onto one's heir, a man who holds it is addressed as Sir FIRSTNAME LASTNAME (and his wife is addressed with the courtesy titlte of Lady LASTNAME), a women who holds it is addressed as Dame FIRSTNAME LASTNAME (her husband gains no courtesy title).
Lady Thatcher's husband, Denis, was knighted as Sir Denis Thatcher in 1991. This was primarily done so his wife (who had just ceased to be Prime Minister) could be Lady Thatcher and still sit in the House of Commons (the holder of a Peerage must sit only in the House of Lords). Sir Denis' knighthood was actually of what is now a very rare type - a Baronetcy, which means it is hereditary (on Sir Denis' death, his son became Sir Mark). These used to be more common, but Sir Denis' was the only one created since 1964.
When Lady Thatcher left the House of Commons in 1992, she was elevated to the Peerage as Baroness Thatcher, of Kesteven in the County of Lincolnshire. This is her current title - and as a Baroness can also be addressed as Lady, she is also now Lady Thatcher in her own right (as well as Lady Thatcher, widow of Sir Denis Thatcher). This is a noble title that allows her to sit in the House of Lords.
Lady Thatcher does, in fact, hold a Knighthood in her own right, but it in the highest and oldest Order of Knights, the Order of the Garter, and uniquely among all British knighthoods, a lady who holds that title in her own right is not a Dame, but is a Lady Companion.
In short form, Lady Thatcher or Baroness Thatcher are correct (though there is no insult or slight in calling her Dame Thatcher - titles are so complicated that a convention has developed that if no insult is intended, none should be taken - it's unreasonable to expect the average person to keep all this straight, and any attempt to get it right shows respect).
In full, she is The Right Honourable, The Baroness Thatcher of Kesteven in the County of Lincolnshire, Lady Companion of the Most Noble Order of the Garter, Member of the Order of Merit, Privy Counsellor, Fellow of the Royal Society.
Thank you, that was very informative and helpful. Again, no slight was intended on my part, I was simply mistaken about the correct title.
She was (and I assume still is) a very sincere, soft spoken lady with a firm handshake and a tinkle in her eye.
[In full, she is The Right Honourable, The Baroness Thatcher of Kesteven in the County of Lincolnshire, Lady Companion of the Most Noble Order of the Garter, Member of the Order of Merit, Privy Counsellor, Fellow of the Royal Society. ]
I’m sticking with Maggie