The thesis statement can often go anywhere in an introductory paragraph, but more often it will be the last sentence. It generally ends up there because it is easiest to wrap up the introduction with a summary of what will be said or argued in the essay's body paragraphs. Since your thesis statement is this tightly packed sentence of great importance, putting in a position of emphasis, such as the end of the paragraph is very important.
A thesis statement is often one sentence, but depending on the length of the essay and the complication of the argument being discussed, may be longer. However, if you do choose to use more than one sentence to write your thesis, I would recommend placing these close together, if not one after the other.
My favorite way to write a thesis is with a list. State your larger claim or argument and then what you will be using to support it in the body paragraphs. This reads as such: I am arguing A, because of B, C and D or Z is true since X, Y and W.
Kevin explained it nicely. When students ask me sometimes what exactly thesis statement means - I simply say that it is the main argument for your paper in one sentence or it is the summary of the main points of your paper in one sentence.