I would add that a theme of "The Lesson" is the human difficulty to accept and understand exclusion from something greater than ourselves. Race is the focus in this story, so that a thesis might address a theme by saying something about why Sylvia resists the lesson (about exclusion and economic inequities) that Miss Moore presents. Some of the other children understand are are willing to be "schooled" about their social situation. Why does Sylvia, who is apparently very smart, resist? what does race have to do with her resistance? "Sylvia resists because....."--answering this question could provide a strong thesis for a discussion of theme. In general, it helps to create a thesis by formulating a question in your mind that the thesis will answer. The question is not part of the essay: it is part of the brainstorming necessary before writing it.