punctuation - Is it appropriate to use a hyphen in compound adjectives?

I've searched the web and "English Language & Usage", but am having problems finding the answer to the following question:

Is it appropriate to use a hyphen for compound adjectives consisting of two adjectives having the same, how do I put it, "status"? That is, grammatically speaking, they could each stand on their own instead of the compound word. Thus, I'm not talking about words like "well-mannered", but rather words like "thermomechanical/thermo-mechanical" ("thermal" + "mechanical") or
"magnetorheological/magneto-rheological" ("magnetic" + "rheological").

In short, is it "thermomechanical" or "thermo-mechanical"?

Thanks!