1) First, you must host the image you wish to use as your thread image on a website, such as
imgur. Once the image is hosted, you will need to copy the Direct Link to the image; it should end in the filetype's extension (.jpg, .jpg, etc.) and not .html or anything else.
2) In your thread, select "Thread Tools" on the top right corner above the opening post, and in that dropdown menu select the "Edit Thread" option. This will popup a new box with some options that you can change. The option at the bottom is "Thumbnail URL" and you want to paste the direct link of your desired image into that box. Once it's entered and saved, the new option should appear as the thumbnail image next to the thread in the forum listing.
NOTE: Keep in mind that all images shown in this fashion will automatically show the full image, so if you use a large image, it will appear to be very small and zoomed out. If you'd like to show only a specific part of an image or a smaller section, you'll have to crop it yourself before uploading it.