Link featured image to post

Theme customisation is off topic however the default themes are exempt so lets look at an example of how its done in Twenty Fifteen.

if ( ! function_exists( 'twentyfifteen_post_thumbnail' ) ) :
function twentyfifteen_post_thumbnail() {
    if ( post_password_required() || is_attachment() || ! has_post_thumbnail() ) {
        return;
    }

    if ( is_singular() ) :
    ?>

    <div class="post-thumbnail">
        <?php the_post_thumbnail(); ?>
    </div><!-- .post-thumbnail -->

    <?php else : ?>

    <a class="post-thumbnail" href="https://wordpress.stackexchange.com/questions/190344/<?php the_permalink(); ?>" aria-hidden="true">
        <?php
            the_post_thumbnail( 'post-thumbnail', array( 'alt' => get_the_title() ) );
        ?>
    </a>

    <?php endif; // End is_singular()
}
endif;

You can see this line includes the_permalink and its all wrapped in the <a> tag which links the post thumbnail to the post permalink.

<a class="post-thumbnail" href="https://wordpress.stackexchange.com/questions/190344/<?php the_permalink(); ?>" aria-hidden="true">