Tutorial was fantastic, thanks a lot!
Did you manage to compile?
FRunnable is a base class declared in Core/Public/HAL/ThreadingBase.h; you simply want to create an empty class and extend FRunnable. When you use the “new c++ class” wizard from the editor just select none as parent class (but if you choose Any other parent class and copy/replace the entire code it will work fine).
The compilers error are probably caused by the fact that you didn’t include “RHI” and “RenderCore” in the public dependecies modules (file YourProject.build.cs in Source/YourProject folder) and the UpdateTextureRegions function as unresolved links.