If the saved game thumbnails are enabled in project settings, the screenshot is taken automatically when you call Game.SaveGame() and it's stored in the saved game file. Only if you want to take the screenshot explicitly at other time, you'd call Game.StoreSaveThumbnail(), but that's optional.
The thumbnail image works just like any other image (sprite) in WME, only instead of using the image path (such as "path\whatever\image.png") you use a filename such as "savedgame:0". WME will detect this special image path, and instead of using a physical image file, it will extract the thumbnail from a given saved game slot (slot zero in this case).