The importance of a thumbnail sketch is to just get ideas down. They’re kind of like a first draft of a book - it’s where the artist gets the first inklings down and then gets the problems ironed out. A thumbnail sketch is often very small - only a couple of inches high. They’re often done without any corrections, done without editing like a first draft. Pen and pencil are the most common tools for creating a thumbnail sketch, but they can be done with anything.
These first sketches allow the artist to play around with the major aspects of the picture. Typically, this means the horizon and larger pieces of the picture. In some ways, it’s an outline and a rough draft rolled into one.