I am not an expert in Thingworx, but I know that it can very easily call any RESTful API. It seems like Microsoft have added a RESTful API to their 2016 version of Dynamics CRM.
The MS Dynamics ERP does not have a RESTful API, so you might be able to use the SQL database connector from the marketplace. This connector will allow you to query data from the database, I am not sure if you will want or even be able to write to the database. Bear in mind that "integration through a database" is difficult to get right and generally a bad idea for integrating off-the-shelf products.
Wow. I can't believe it's been a year since I posed this question.
Yes. We have it working now. We created a thing template to connect to Microsoft O Data and then a thing with a service that passes in parameters to Dynamics CRM API.
Would you be willing to add some detail around the thing template you created to connect to Microsoft O Data? I think I have the Azure side figured out as far as keys and application permissions.