While you are researching, keep writing a thesis statement in the back of your mind, but don't dwell on it. You should use most of your attention to underline all of the parts of the readings that are interesting to you and mark each page that has the most important underlinings on it. This step allows you to make the important parts of the reading available to yourself later without having to remember where it is that you read each important idea. This will come in handy when you need to combine the everything to create a thesis statement.
Go back and look through your most important underlinings once you have finished reading your texts. It is now time to begin focusing your attention on combining the important ideas and writing a thesis statement. Look for a theme that connects them or an interesting relationship between them. Either of these observations would probably make a great thesis statement. Once you have arrived at a couple of ideas for thesis statements, write each of them down.
Reevaluate each of the potential thesis statements that you have written down. Consider all of the underlinings that you have done in your reading. Do you have enough of them to support any of the potential thesis statements that you are considering. If not, you may want to consider reworking the thesis statement ideas, or finding more evidence to back one of your statements up. If you do have enough evidence to back up one of your thesis statement ideas, that probably signifies that you are ready to use that idea as your final thesis statement.