If you wanna catch the event before saving the post, you won’t be able to do this with PHP – setting the featured image is done with JavaScript (there is a hidden field and it’s value is populated with JS when user picks a thumbnail from Media Uploader. Also the thumb preview is rendered with JavaScript.) So WordPress hooks won’t be useful here, you need to look for a JavaScript event.
Good news is that you can still work with JS an wp.media API like this:
// listen for featured image selection event
wp.media.featuredImage.frame().on( 'select', function(){
// get the selected image ID
var thumb_id = wp.media.featuredImage.get();
// there you go, thumb_id is the picked image ID
console.log( thumb_id );
});
This would get fired every time a user sets a thumbnail from the Uploader.