Noticed nobody ever answered the original question. Better late than never.
Basicaly, it's a cry for the English to shake off their indifference and shape a better society.
The Cross of St. George is the national flag of England. it's the red one you see on the Union Jack. So Thompson is using it as a symbol of England and a rallying point for a better future. To dance to it is just a way of saying follow the flag.
Sorry if this is stating the bleeding obvious.