As you've realised, if you want a thermostatic radiator valve (TRV) on that radiator, you need to replace the entire valve. What you have now is a lockshield valve which can take either a smooth cap that locks it into a given position or a cap that will allow you to adjust the valve manually. To replace the valve, you would need to drain the whole central heating system (I would recommend waiting until winter is behind us).
These days, many TRVs are bidirectional and can go on the flow or return. Check the instructions before you buy. Some of them have a sort of switch that you can rotate to select the direction of flow.
Before fitting a TRV, make sure that your system will support having TRVs on all radiators. I think that most combi boilers these days have a built in bypass and won't get damaged if all the valves are shut but it's worth checking. In addition, boilers that are controlled by a thermostat often forego a TRV on the radiator closest to the thermostat. This is to avoid the situation where valves are all turned off but the house is cold: the boiler keeps firing but never makes the house any warmer. Depending on the type of boiler controls you have, this may or may not apply.
