Need to setup grid like thumbnail of recent posts on sidebar

You could use wp_get_recent_posts() to get the latest posts, like:

<h2>Recent Posts</h2>
<ul>
<?php
    $args = array( 'numberposts' => '5' );
    $recent_posts = wp_get_recent_posts( $args );
    foreach( $recent_posts as $recent ){
        echo '<li><a href="' . get_permalink($recent["ID"]) . '" title="Look '.esc_attr($recent["post_title"]).'" >' .   $recent["post_title"].'</a> </li> ';
    }
?>
</ul>

Then, use get_the_post_thumbnail() to get the Featured Image of the posts, like:

if ( has_post_thumbnail($thumbnail->ID)) {
  echo '<a href="' . get_permalink( $thumbnail->ID ) . '" title="' . esc_attr( $thumbnail->post_title ) . '">';
  echo get_the_post_thumbnail($thumbnail->ID, 'thumbnail');
  echo '</a>';
}

Mix it all together, and you could have something like this in the end:

<h2>Recent Posts</h2>
<ul>
<?php
    $args = array( 'numberposts' => '5' );
    $recent_posts = wp_get_recent_posts( $args );
    foreach( $recent_posts as $recent ){
        if ( has_post_thumbnail($recent["ID"])) {
            echo '<li>' . get_the_post_thumbnail($recent["ID"], 'thumbnail') . '</li>';
        }
    }
?>
</ul>

Finally, add some CSS:

ul { list-style: none; }
ul li { display: block; width: 45%; float: left; }

You sure have to style this one more than I did 😉