Thumbnails are a series of small sketches that are typically the first step in the design process. Even in a world of digital design, the ability to draw with pencil and paper is an important skill. It's fast, portable and can be accomplished anywhere and time the creative spirit strikes. A good way to get started is to divide up a piece of paper into a series of rectangles (just fold a paper 2 or 3 times to get some boxes to work in). Think about the objective of your design. What's it for? Who will view? How will it be reproduced? What are you trying to communicate?
Here's a sample of thumbnail sketches: