Has anyone ever seen any accounts or stories of how and why the races evolved as they did? For instance, how elves went from being high-bred forest/city dwellers to tall desert runners and thieves? Or how dwarves lost their hair?
DSS3 Elves of Athas gives the Legend of Coraanu Star Racer, the first running elf. I've always assumed the in-game history behind the myth was Coraanu was an elven leader who decided to bolt for it rather than face Albeorn (later Andropinis) Slayer of Elves. Natural selection over a 2,000 - 3,000 year period might account for the current elves being lanky long distance runners - the others couldn't keep up and died, or stayed behind in the cities and forests and were killed during the Cleansing Wars. The degradation of Athas through defiling magic run rampant might have accelerated any changes that resulted from the natural selection.
Dwarves did not loose their hair. Rather, some ancient dishonor caused them to shave it all off in shame. As soon as they are born, they undergo a process that permanently removes their ability to grow hair. Theoretically, a dwarf that never grew up in primary dwarven society would appear much like a classic dwarf.
Is this canonical, or your interpretation? Because that's very interesting.
I believe it is canonical. I don't remember where I read it, though. I believe the source that I got it from also hinted that whatever the dishonor was that made them shave off their hair also caused them to leave their mountain homes. That part could just be my interpretation, though.
I can guess the halflings turned to cannibalism for survival. It does not only help with food issues, but maintain enemies at bay.
Take into account, though, that many races in Dark Sun are of artificial origins (muls, half-giants, etc.)
And the Thri-Kreen? Anyone have any sources about them?
Canonically, the Thri-kreen have existed in some form since the Blue Age. They had plenty of time to evolve naturally.