“Set Thumbnails” automatically?

Is there a plugin that sets thumbnail for each post automatically?

or

Is there a plugin that checks which “media” is being used in each post and indicate the attachment of the media file to the post?

I have 500+ posts and each has a picture. The pictures are not “attached” to any posts at the media library, they are linked direct to the picture using html code. I’d like to make a page of these thumbnails that links to the post, but it’s not possible unless I “set thumbnail” on each posts. Can anyone help please?