Do you have any rules of whether to use 'this way' or 'in this way'?
It's largely a matter of native idiomatic preference, Kis; however, if "this way" is functioning as a stand-alone noun phrase -- one which cannot be analyzed as a reduced prepositional phrase (i.e. as a reduced version of "in this way") -- then it is not possible to use "in this way" instead. This is the situation when, for example, "this way" is the subject of a sentence:
This way is a good way to go.
*In this way is a good way to go.