Thumbnails from .psd files works just fine for me in Windows XP. I do not know for sure how that is done. But I am using PhotoShop 7 and when I import my raw files from my camera and do the "Save As" commando, and save it as a .psd file, a bit down on the dialog that opens is a checked, but greyed-out check box for thumbnails. If that is what creates them, I don't know. But where they would be stored is more than I know. Perhaps it is like with some camera manufacturers raw files, they have a jpeg file inside the .psd file for the sake of previews.
Peter Gr