I would use the Path class, preferably in your own utility method or as an extension method.
string pathWithThumbs = Path.Combine(Path.Combine(Path.GetDirectoryName(path), "thumbs"), Path.GetFileName(path));
Linq seems to be out of place here; you're not really querying collections. Plus, the Path class handles most of the slashes and corner cases for you automatically.
EDIT: As @juharr pointed out, as of 4.0 there's a handy overload making it even simpler:
string pathWithThumbs = Path.Combine(Path.GetDirectoryName(path), "thumbs", Path.GetFileName(path));
EDITx2: Hrrrm, as @DiskJunky points out, this Path usage will actually swap your forward slashes for backslashes, so just throw a Replace("\\", "/") call in there.
Pathutility class meant to help do stuff exactly like this?string pathWithThumbs = Path.Combine(Path.Combine(Path.GetDirectoryName(path), "thumbs"), Path.GetFileName(path));