I thumbnail an entire chapter in one go: it gives me a better overview of the pacing, and it's nice to have a plan.
I start with a basic outline ("Masahiro discovers there's something creepy about this temple, and whoops - demon!"), which I then turn into a stream-of-consciousness babble-y description of the event ("So, this strong wind starts blowing which is strange because hey, we're INDOORS, and then Masahiro grabs his sword just as a giant creepy demon descends from the darkness of the rafters and attacks him"), and then break THAT down into page-by-page descriptions ("Page 1: Masahiro notices the creeping darkness gathering. Page 2: a strong wind whips through the temple. Page 3: The demon appears! Page 4: stand-off with creepy staring", etc.).
And then I do thumbnails based off of the page-by-page description, on paper, armed with tea and patience and absolutely no internet-access (I get distracted), and they look like this:
... and yes, that barely legible chicken-scratch beneath each of the pages are written notes to myself describing what's in each panel (in case it takes a while before I do full-size sketches and I forget what these hieroglyphs are supposed to be) - and also the very first draft of the dialogue. Before this, no dialogue. And at this point, the first draft for the leftmost page literally says "blah blah blah takes time. I will pray for you so you can leave while you wait" which is the gist of what ended up in the comic, but certainly not word for word the final result.
I then open up Manga Studio 4EX, and do a multi-page document with all the pages in the chapter. For chapter five, it looked like this:
Still very rough, but now with some actual, readable dialogue, and panels and everything. Once I'm happy with it (and at least somewhat happy with the dialogue: dialogue can be tweaked), I export the pages as .PSD and open them in Manga Studio 5 to do all the finishing work - clean sketches, ink, colour, etc.
... The reason I don't use Manga Studio 5 for all the things is a.) I like the panelling and speechbubble tools of MS4 better, and b.) I don't have the EX-version of MS5, so I can't use the Story-function.