Talk to your adviser or thesis supervisor. Even if you don't have a clue what you want to do for your thesis project going in, she should be able to help. Ask for some directions to pursue while you try to formulate your thesis concept. For example, a theatre directing MFA student might have his advisor recommend considering plays from a certain period or group of playwrights when looking for a project.
Brainstorm a list of your passions in your discipline. Think about your primary inspirations if you are an artist, or what type of show you did for your BFA, and whether you'd like to complement or contrast that work with your MFA project.
Narrow the focus of the project. Settle on a first pick for a play, pick a concept for a film, a theme for a photography show or a stylistic choice for a dance project. Remember that this isn't set in stone yet, so just make a choice and look at it further. Don't stress about making the wrong one.
Explore the idea on paper to see if the idea you've chosen could bear artistic fruit. For instance, write an outline of a script, plot out a series of pieces for an art show or come up with some basic casting and directorial choices for a play. If you like what you see, continue forward. If you're unhappy with where that potential project seems to be heading, go back and make another choice and then flesh out that idea until you find one you are happy with.
Crystallize your idea into a statement of intent that clearly communicates what you plan to do for your thesis project.
Talk to your adviser again. See what she thinks about the project and if she has any input about how you should change your focus before you begin putting the project together. Sometimes you might not get approval for a project and need to rethink it somewhat to meet the requirements for an MFA at your particular school.