Check the other things first to be safe.
Basically to change the thermo, follow the lower radiator hose up to where it meets the motor, put something under the car to catch the antifreeze that's gonna come out, loosen the clamp and remove the hose, remove the two 10mm bolts out of the housing you just took the hose off and remove the housing from the motor. You'll find the thermo behind it, pay attention to which way it's facing. Clean the mating surfaces of any dirt or gasket material, put a new thermo in facing the same direction, bolt the housing up with a new gasket and put the hose back on.
While you're at it, you should consider replacing the hoses too. If you decide to, you can get the old hoses off easier by cutting them with a razor to make them easier to slide off. Replacing them is pretty self explanatory.
Once done, top off the radiator with the proper coolant water mixture, run the engine til it gets warm, check for leaks and re-check the coolant level once it cools off.