I just got done with this myself. First, make a copy of your document and
work on the copy -- just in case. Create two styles, one for your table
caption, another for your figure caption and mark all your captions
throughout your document with the appropriate styles.  Make sure to include
ONLY the captions.  Then insert a new page where you want your list of tables
or figures to be.  I use the section break/new page command.  Then got to
Insert, Reference, Index and Tables, and it will take you to the Index and
Table window. Find the tab that says, "Table of Figures," then click on
"Options" and in that window, check off "Style" and in the drop down box,
find the style you defined for your Tables or Figures.  Click ok, then look
at the Print Preview at the "Table of Figures" window and check to make sure
it shows the right options.  You can then change the options for the Tab
leader, etc.  Just try different options.  Click "OK" when you're done and
the Table will appear.  If you need to adjust alignment such as hanging
indent, etc., highlight the table, go to Format/Paragraph, and adjust the
right alignment, the number of spaces after the paragraph, and the hanging
indent.  It works really slick!  After you're done and you've made changes in
your document like deleting some pages, or moving text, you'll need to adjust
the list so the page numbering is right.  Highlight the table, put your
pointer in the table and then right click. Word will prompt you if you want
to Update page numbers only, or the entire table.  If you do page numbers
only, the custom formatting you will stay the same while it fixes the page
numbers. If you update the entire table, then you'll have to reapply the
formatting.  

Some people decide that it's too much trouble and they just type it in by
hand, but if you're familiar with styles and paragraph formatting, then it's
relatively easy.

Good luck on the thesis.