Preview Image for Blend files - automatic saving not working for me.

OK this is now driving me nuts.

When I go to load a blend file and switch to thumbnail view some of my blend files show a preview image but most dont.

I have realised that the ones that do seem to be ones that I have downloaded from here.
If I load one of the blends that does show a preview image ( and using the user interface setup from that blend file) and then do a simple and immediate save then - lo and behold - there is now no preview image that shows for that blend file.
I have checked that save preview images is ticked in user preferences ( I have this on as default for all my blends) but clearly that isnt working for me.
Im using version Is the automatic saving of preview images for blend files bugged in any of the versions?
Is there something I need to do over and above having that user preference selected to ensure that a preview image is saved?

Obviously blender is still very useable for me without this, but its annoying me as clearly foilk can save blend files with such a preview image but Im simply not able to at the moment.
Any help would be greatly appreciated.

UPdate - Ive put this in the basics section as I suspect Im missing something fairly basic. If however this would be better elsewhere then please move it. Thanks.