Tiny Post-its are good for marking the start of chapters. You can clearly highlight where important parts of your thesis are.
Large, square Post-its help to expand on a point. Postcard-sized Post-its can be a brief summary of a key section or chapter.
Post-it Notes come in a variety of colours too! If you really want to you can think about some kind of way to code for different information. Different colours for different chapters, certain colours for certain kinds of work.
There’s a lot you can do to help annotate your thesis. A trip to the stationery cupboard is a good start.