dbrane and DZ have given Useful conventional Answers.
dbrane's characterization of the vacuum as "contains no excitations", however, is not very helpful because there is no clear Correspondence with the classical idea of no excitations, the everywhere zero classical field. Local measurements of the vacuum in general give non-zero results.
IMO (not a conventional Answer, so Useful only with care for the purposes of exams, etc.) it's more helpful to think of particles as modulations of the vacuum, which is abstractly constructed as a Poincaré invariant state over an algebra of observables. An alternative perspective is that a free field can be constructed from its Wightman functions, which are essentially correlations between the measured local values of the field when the localizations are at space-like separation [it's more usual to construct the Wightman functions from the quantum field, $W(x_1,x_2,...x_n)=\left<0\right|\hat\phi(x_1)\hat\phi(x_2)...\hat\phi(x_n)\left|0\right>$, but the other way round works too; note that, as generalized correlations, the Wightman functions are functions on the (symmetrized) space $M\oplus (M\times M)\oplus(M\times M\times M)\oplus...$, not on Minkowski space $M$ simpliciter]. The Wightman functions are not zero for the vacuum state.
Non-vacuum states have Wightman functions that are different from the vacuum state. In particular, they are not Poincaré invariant (which is why we can say that they "carry momentum and energy around"). Nonetheless, they are systematic deformations of the vacuum state, and hence of the Wightman functions, constructed by the action of the quantum field on the vacuum vector, which I choose to call modulations because I wish to emphasize the signal processing aspect of quantum field theory. [This doesn't make noncommutativity of measurements go away, but the relationship between quantum fields and classical signal processing is substantially different from the relationship between quantum mechanics and classical particle physics.] Although there is a continuum of possible modulations, there is also a discrete structure of states that can be constructed by the action of $1, 2, ...$ field operators on the vacuum vector, which we call the number of particles in the state. Unless there are superselection rules in place, we can construct (1) linear compositions of vectors and (2) linear compositions of states (superpositions and mixtures, respectively).
Note that by the vacuum state I mean a linear map from the space of operators $\omega_0:\mathcal{A}\rightarrow\mathbb{C};\omega_0(\hat A)=\left<0\right|\hat A\left|0\right>$, where I've used the vacuum vector $\left|0\right>$ to construct the vacuum state $\omega_0$. This is now a fairly universal distinction in mathematical physics, but not, I think, in Physics generally.
Now to your Question's more specific points. Interacting quantum fields defined in terms of deformed Lagrangians and Hamiltonians are only as well-defined as the degree of your acceptance of the mathematics of renormalization. From moment to moment, unitary evolution of a state preserves the Hilbert space norm (by definition), but may or may not conserve the number of particles in the state, nor even the energy and momentum if we construct an ad-hoc Hamiltonian (a thermal field in a box is an ad-hoc system, insofar as the Hamiltonian is not translation or boost invariant). Unitary evolutions are generalizations of sinusoidal motion to higher dimensional spaces, so insofar as we think of sinusoidal motion as borrowing potential energy to create kinetic energy, sure, it's "borrowing", but there are other, and I think better ways to think about such models.
From a field perspective that starts from the vacuum, a thermal state is a thermodynamic limit of mixtures of $0,1,2,...,n$ particle states (thermodynamic in the sense that $n\rightarrow\infty$), with weight for different states that is determined by the energy. The energy and the thermal state constructed using it are invariant under translations and under rotations, but not under boosts. Thermal states are special because the limit is not in the Hilbert space of bounded states. I regret that I don't have the time (I'm not sure if it's an hour, a week, or a Ph.D. thesis) to construct a field theoretic analysis of your thermal field in a box example, I'll have to leave it to you, expanding upon the principled approach I've laid out above.
Yayu, I've sent you to my papers before, so I won't do so again. I've riffed on your interestingly asked Question more than I've Answered it; I think of it as more up to you to make it Useful rather than Useful in itself. Best wishes.