The prices to Thermopolis were pretty good (in the upper $500) for roundtrip and so I've booked the flight early. I actually decided to leave a few days earlier in order to get settled in the hotel and learn my way around the town, find the necessities.
As a note, anyone going to Thermopolis: flying direct may be a good option, but flying to Riverton also works. It takes a bit less time and offers more flexibilty for plane dates/schedules. Transportation is the only hassle. If you stop in Worland or Riverton, you can rent a car.
The cost for renting is a bit more than I could afford, but that didn't matter because I wouldn't meet the age requirement anyway (21). As for Worland airport, I can't say much. I've never been there, but from the website it seems very small and local. The Riverton website was a bit more professional, lending the idea that it sees more service and is more reliable.
However, these are just assumptions.
From the maps I've studied, (thanks to google) it looks as if everything is in walking distance in Thermopolis. The town also runs a taxi service that will be pick me up from the airport in Riverton (I didn't ask about Worland) and make the one hour trek to the hotel for a little over $100.