In a large bowl, toss the chicken thighs with buttermilk, hot sauce, and salt.
Wrap tightly and refrigerate for at least 2 hours or overnight.
In a separate bowl or rimmed plate, whisk to combine the flour, cayenne pepper, paprika, black pepper, and baking powder.
When the chicken has marinated for at least 2 hours, transfer to a separate plate, letting any excess buttermilk drip off back into the bowl.
Add eggs to the residual buttermilk and whisk to combine.
Line a baking sheet with paper towels, and top with a wire rack. Place one additional rack into another baking sheet.
Working with one piece of chicken at a time, dredge in the flour mixture, then the egg/buttermilk mixture, then flour mixture again.
Transfer coated chicken pieces to the wire rack placed over a clean baking sheet, and repeat with remaining thighs.
Pour 2 to 3 inches of oil into a large pot and heat to 350 F.
Fry 3 thighs at a time in the oil, flipping once, until golden brown all over and the internal temperature of the thighs reaches 165 F.
Use a slotted spoon to remove the thighs from the oil, and place onto the rack over the paper towel-lined baking sheet. Repeat the process with the remaining thighs.
Make the glaze: Place butter, cayenne, brown sugar, salt, paprika, and garlic powder into a medium bowl.
Add ⅓ cup of the hot frying oil and whisk to combine.
Brush the glaze over hot chicken thighs.
Assemble the sandwiches: Spread mayonnaise onto bottom buns.
Top each bun with a chicken thigh, then pickles.
Place on top buns and serve immediately with any leftover glaze.