How do I get thumbnail previews of media files in dolphin?
which packages should be installed?

What kind of "media files" do you mean?

For videos, you need to install ffmpegthumbs and enable it in dolphin's settings (General->Previews).
And your installed ffmpeg needs to support the corresponding codecs. Some distributions only ship a crippled one that only supports free codecs for legal reasons, in that case you'd have to install the full version from somewhere else, I don't know how Neon (or Ubuntu for that matter) handles that.