I am seeing them in 2010 and 2011 for parts files.
When I open up SolidWorks here is what I see using window 7.
File Pull-down menu
A window opens that looks like the window 7 explorer (not internet explorer) and I see a list of folders and parts.
The parts have small or larger icons for the files. Most of the Solidworks files have a very small thumbnail picture depending on how the directory is viewing the files.
If I click on a part, i see a thumbnail image to the right only if the "Pre-view pane" is open. The pre-view pane toggle icon is upper right next to the help "?" question mark.
So I am seeing thumbnail images of the parts, sometimes I just get a default icon for the file that is and yellow upside down T shape at an ISO angle in the smaller images for the soldworks part files.