Try installing gnome-disk-utility

gnome-disk-utility might work but I didn't think it was required.

Yeah sorry, the first time I tried to get Thunar working with external
devices I installed a bunch of stuff, I just removed it and it is
working. Try running Thunar by hand `killall thunar; thunar` and check
~/.xsession-errors too

What window manager are you using? I use Jwm. Dbus and Polkit are started by open-rc, polkit user agent is started by Jwm startup command. Don't know what I have been missing.

I am running XFCE, tried with dwm and it is not working, I installed
spacefm and it works, so it is probably something about polkit. I will
keep trying :D

Hey! try with 'dbus-launch thunar'

I'll try that. Thanks for the tip. Spacefm+udevil seems to be the best 
bet on minimalistic distros. It works well on Alpine and does not 
require neither gvfs nor polkit-1.