I have a 2000 B3500 V8 -- follow the top radiator hose to the top of the block. The thermostat is located inside that "goosneck" pipe the radiator hose fits on at the top of the block.
Not a fun thing to change, since you have to remove a bunch of brackets to get to it.
Remove all the brackets, remove the top radiator hose, remove the 2 bolts holding the gooseneck on.
It's a miserable job. The thermostat itself is only about $7, but the labor could be as high as 200-300, plus replacing coolant.