It all depends on what your topic and period is. Sources and methods vary greatly depending on the types of sources people from your period left behind. I am going to discuss the process of doing research for a thesis from the perspective of a graduate student at a major research university.

I am getting my master's in Historical Studies with my emphasis being the American Revolution. I do not talk about the specifics about my thesis because it's actually pretty original and don't want to say anything until I have it finished, but I will give you the basics and help you try and understand what sources I use, how I locate them, and how I use them.

My thesis is a study into the economic depression that hit American following the end of the Revolutionary War, particularly I am studying some of the effects in Maryland. As a result, I am tracking down property records, execution orders (orders by the court to foreclose on properties and allow sherifs to confiscate the land back) and other types of legal documents that pertain to who owned land, and how and why they lost it. I also am tracking down records of property and tax laws that were created and/or changed during this era as well. I also have spent time seeing if I can find letters, journals, or other writings from any of the people who were involved in this process (with very mixed results).

For secondary sources, I have tracked down pretty much every respected book or article that has to deal with economic hardship during this era and dug into their research as well. And yes, there are tons.

It's also worth noting that in order to do a thesis like this, you have to get approval from a panel of historians at your university. You have to put together a prospectus, which is a 20-30 page document that outlines your idea, states your guess as to the causation of your topic, a literature review (where you outline what all the experts have said in regards to similar topics), and pretty much discusses where you will find your sources. The prospectus is then reviewed by your panel of historians and they say whether or not this is sufficient to continue on. Over the next year(s), you have to work one on one with one historian who is like a mentor and is an expert in your field. You will continuously pump out research to him/her and garner feedback from them through the process. Occasionally you may send your writing to the other 2 panelists, but it usually isn't necessary until you are at or near the end of your research.

Once your thesis is done, it will be reviewed and fact checked by the historians at your university. Each university does it differently. Mine typically request to have it 3-4 weeks in advance, prior to your infamous "thesis defense". In a thesis defense, you will have a 2-4 hour meeting where your panel will interrogate your research in front of you by asking questions. other members from your school can be there (at my university, often the chair of the history department and director of the graduate program sit in on them) and they examine your research and ask questions about your writing, sources, and methodology. There are three outcomes: a) you pass - the thesis is acceptable and the university feels comfortable endorsing your work, b) it passes with conditions -- usually this is the school saying that you need to make a few major changes, but after these are done, it will endorse your work, c) it is rejected. This is the least common scenario since your panel should have warned you and/or rejected your work prior to the thesis defense, but it does happen.

Once this is done, a grad student can decide if they want to turn parts of their thesis into a journal article (or a couple of them if it covers different topics) or if they want to expand on it for a book or figure something else out.

Edit I wanted to add, that if you have any follow up questions, I'd be happy to answer them.