Really depends. If you want to show the thank you page but not necessarily log the user in after signup, you can just disable auto login and redirect the user in the signup callback.
If you want to keep the auto login, you will need to check the user profile and do the redirection based on that.
The simpler way is to add a rule that check the login count like this
function (user, context, callback) {
user.first_login = (context.stats.loginsCount === 1)
callback(null, user, context);
}
and they you can create a middleware that checks that attribute from the user (it will be returned in the auth0 user profile) and do the redirection (or you can show some kind of message/modal in the page the user is loading) when that is true (you can add some flag in the user session to only show once in the first login).
This way it will run on all the routes and I think it will be the easier way.