Fixing to Thermalite, Durox and other lightweight blocks really requires special fixings which can grab the block from inside the hole you drill. Plugs and fixings that expand as you screw the fixing into the plug tend to break away the inner surface of the hole and become loose in no time at all. Proprietary fixings can be bought in most DIY Stores and they will be labelled, Fixings for Lightweight Blocks or fixings for airated blocks.
The procedure is pretty much the same as when fixing to normal concrete or masonry. A hole of the diameter stated on the fixing is drilled and the Lightweight block fixing is inserted, but with these they are screwed in, not just pushed in as you can see from the images below. Most lightweight block fixings come with a special tool which allows you to screw the fixing into the block firmly with the help of a battery driver.