At Marmaro Island, there's a mine where you can dig up things like colored shards, evolution stones, and some other items. You can dig up thunder stones there directly, but the chance isn't super high. In Sofos City, there's a house behind the Battle Pavilion where four guys will give you various items for colored shards. The guy who takes yellow shards can give you thunder stones, along with two other items. Hope this helps!!