Yes fish will go into the thermocline for short periods. They will use every advantage they can. Keep in mind that O2 requirements vary with species somewhat as do temp requirements.

For example RT have higher O2 requirements than LMB. Cal studies showed that LMB would trap the RT at the O2 depleted thermocline and ambush them from both above and below the thermocline. The RT were at a disadvantage because of the O2 deficit waters.

Obviously fish can't stay in areas where they can get O2 for long periods but they can go in and out to use an advantage.