How to automatically add rounded corners to thumbnails?

Looks like you can hook into the wp_create_thumbnail filter:

function wp_create_thumbnail( $file, $max_side, $deprecated = '' ) {
if ( !empty( $deprecated ) )
     _deprecated_argument( __FUNCTION__, '1.2' );
     $thumbpath = image_resize( $file, $max_side, $max_side );
     return apply_filters( 'wp_create_thumbnail', $thumbpath );
}

So just do your manipulation, and return the result to wp_create_thumbnail.