Column preparation in capillary chromatography commonly relies upon the generation of on‐column porous frits. Here, we report a simple, robust and low‐cost approach for preparing polymer frits on‐column, in a rapid and spatially controlled manner using thermal free‐radical initiated polymerization. In this approach, a simple, temperature‐controlled heating apparatus is positioned adjacent to a 100 μm i.d. fused‐silica capillary for a defined duration. Frits were synthesized in 3‐(trimethoxysilyl)propyl methacrylate modified capillaries using a monomer solution of 2,2‐azobisisobutyronitrile, glycidyl methacrylate, ethylene glycol dimethacrylate, and decanol. Frit length and stability were investigated as a function of polymerization time, temperature, and position. Frit length was easily controlled via a combination of polymerization time and temperature and position was readily controlled using a simple mechanical placement jig. Thermally initiated frits were stable throughout column packing and did not require removal of the capillary polyimide coating. The thermal initiation approach offers higher throughput, with polymerization times of <2 min compared to ≥30 min for UV‐initiated polymerization and significantly reduces the cost, enabling broader access to on‐column frit technology for a variety of capillary separation applications.