I've never had a Thermarest come with a stuff sack. However, once someone figured out they could be folded in half before rolling, I've never felt that the sack was mandatory. I've rolled them, put a webbing strap around them (or not), and put them inside the pack. They don't unroll enough to cause a problem.

Then came chair kits. Now, I just let the air out and roll them inside the folded chair - which puts a layer of nylon around it, just like a stuff sack does. Question: have I just rationalized the need for a chair, or am I just carrying an extremely heavy stuff sack?