  The early X-ray afterglows of gamma-ray bursts (GRBs) are usually well
described by absorbed power laws. However, in some cases, additional thermal
components have been identified. The origin of this emission is debated, with
proposed explanations including supernova shock breakout, emission from a
cocoon surrounding the jet, as well as emission from the jet itself. A larger
sample of detections is needed in order to place constraints on these different
models. Here we present a time-resolved spectral analysis of 74 GRBs observed
by Swift XRT in a search for thermal components. We report six detections in
our sample, and also confirm an additional three cases that were previously
reported in the literature. The majority of these bursts have a narrow range of
blackbody radii around ~ 2 x 10^{12} cm, despite having a large range of
luminosities (L ~ 10^{47} - 10^{51} erg s^{-1}). This points to an origin
connected to the progenitor stars, and we suggest that emission from a cocoon
breaking out from a thick wind may explain the observations. For two of the
bursts in the sample, an explanation in terms of late prompt emission from the
jet is instead more likely. We also find that these thermal components are
preferentially detected when the X-ray luminosity is low, which suggests that
they may be hidden by bright afterglows in the majority of GRBs.
