What is the "correct" way to make a stoppable thread in Python, given stoppable pseudo-atomic units of work?

Flag checking seems right, but you missed an occasion to simplify it by using a list for atoms. If you put atoms in a list, you can use a single for loop without needing a do_atom() method, and the problem of where to do the check solves itself.

def run(self):
    atoms = # get atoms
    for atom in atoms:
        if self.stop_at_next_check:
             break
        self.current_atom = atom
        atom.do_work()