Similar suggestion to the others. Try some double sided tape. Short pieces scattered over the Thermarest. On the side that will stick to the sleping bag, make it less sticky by letting it dryo out and maybe taking a piece of flannel and sticking and unsticking to it. You want it to sort of hold but not really stick.
Also try some rubber cement/glue. The Elmers kind that comes in the brown jar with a brush. Paint some strips of it on the Thermarest and the rubber should create enough friction to keep from sliding. I think the rubber cement/glue will stick well enough to the Thermarest to stay in place when you roll it up.
Maybe cotton/fabric electrical tape would work too. Not the shiny plastic electrical tape. There is some electrical tape made of fabric. Cotton or something. Its fabric surface should provide enough friction to keep the sleeping bag in place.