Connotations: ‘thrift’ is achieving one’s goals as cost-effectively as possible and maximizing one’s bang-for-buck; ‘frugality’ is choosing one’s goals to be as cost-effective as possible, and picking a bang which minimizes one’s buck. The former is a virtue; the latter, a vice.
Reminded of a tweet from Gwern:
Interesting. To me the connotations would have been the opposite — being ‘frugal’ sounds more virtuous to me than being ‘thrifty’.