Do I make the Niyyah
if I joined late or just jump in?
Do I read the Thana
if I joined late or just jump in?
Is it prohibited to join the Jammat while in Ruku
or Sujood
?
Do I read Attahiyatu
if I joined the Jammat while in Sitting
?
No, it's not obligatory to utter niyyah with your tongue, intention (niyyah) in hearth is enough.
The place of the intention is the heart. When a person makes niyyah with his heart, it is good to make niyyah verbally also. If it is not uttered by the tongue, there is nothing wrong with it. (Al-Kafi, Fatawa al-Hindiyya)
About recitation of thana (and anything else):
Hadrat Jabir bin Abdullah (ra) narrates that the Prophet (Peace be upon him) said: Whosoever has an Imam then the “RECITIATION OF IMAM IS ENOUGH FOR HIM” [Sunnan Ibn Majah (1/277, Hadith # 880)]
But, if you feel more comfortable and you can achieve better concentration in salah if you recite, than you can recite these things you can manage to recite until the end of rekaat (speaking about when you join the salah at one of kiyams).
No, it's not prohibited to join jamaat in any stage of salat! Read more about latecomer in salah.
Yes, you recite attahiyyatu when you join jamaat in sitting (as much as you can before they finish salah/go on next rekaat). That sitting is as any other in salah.
Allah knows the best!