But the 21st birthday changes a person's legal status. Depending on your country and state, you may be able to [drink, drive, join the army, vote, etc.] two days after that birthday (your "age" is 21), when you could not one week earlier (your "age" was 20).
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Wikipedia and WHO, among others, seem quite happy to write "the 21st century" (with small c), and this the form I prefer. But it's your choice and no-one can criticise you for writing "the twenty-first century".
The suffixes -st (e.g. 21st), -nd (e.g. 22nd), -rd (e.g. 23rd), and -th (e.g. 24th) are used. In the Victorian period, these indicators were superscripts (2nd, 34th) under general French influence especially in British English, but by the late 20th century, formatting them on the line was favored. [citation needed] Since the 1990s, the superscript style has been revived somewhat because some ...
This Thursday would very clearly mean Thursday the 21st, as saying next Thursday is ambiguous and could very easily be misinterpreted, most sensible people would avoid using it if they were referring to the 21st.