There's no direct route.
You need to get to central London and then onto Cambridge, for a connection to Thetford.
The 'standard route' (i.e. the one generated by National Rail Enquiries service) is to take the Southern service to Victoria, the Victoria Line to Kings Cross, First Capital Connect to Cambridge and Greater Anglia to Thetford. The Off-Peak Single fare is £55.70, with the Anytime Single fare costing £70.70.
An Off-Peak Return costs just £1 more than a Single, at £56.70.
An Anytime Return ticket costs £118.90.
However you might get cheaper fares by purchasing Advance tickets, or by routing your journey via Liverpool Street (instead of Kings Cross), to use the Greater Anglia service to Cambridge, and buying separate tickets for each stage of your journey.
http://www.nationalrail.co.uk/
It might be easier to use the National Express DIRECT coach service, which runs every 2 hours (typically taking 4 hours 25 minutes in total). The single fare is often £40.30 on that route, with a return ticket often costing £50.80.
http://www.nationalexpress.com/home.aspx
Chris