To save your sanity, the chapters and appendices are all contained in separate files that are "included" in the main thesis file. These included documents are just chunks of tex that will be read as-is into the main tex file at the point of the include statement (so don't put any "\begin{document}", "\end{document}", or "\documentclass" statements in the included files).
The included files can be given any name you want, as long as it ends with ".tex" (i.e., "Introduction.tex"). However, in the include statement itself, you do not need to write the ".tex" extension (i.e., "\include{Introduction}" will work just fine provided the file "Introduction.tex" exists).
The chapters do not need to be in the same directory as the main thesis file. You can put them in a subdirectory if you want (i.e., store all your chapter files in the directory "chapters"). In that case then just enter the remaining directory structure below the current working directory in the include statement: "\include{chapters/Introduction}".
These include statements work in conjunction with "\includeonly{ }" statements in the document preamble. The "\includeonly{ }" command allow you to only include only a single chapter of the thesis at a time (without significantly altering the main tex document) so it will compile faster during the draft stage. There are example "\includeonly{ }" statements commented out in the file mythesis.tex.
Here is another web site with more basic information about splitting the input.