Unplug the dryer from the wall or turn off the breaker to ensure it isn't getting power during the repair process.
Open up the dryer cabinet and remove the drum. The method for doing this varies greatly from model to model, so check your manual to ensure you do it correctly. You typically have to remove the front panel of the dryer, disconnect the drum and then pull it out. You'll likely need a screwdriver. The rollers are located under the drum regardless of dryer make or model.
Remove the nut or the spring clip that holds each roller in place. Discard the old rollers in the trash.
Apply one drop of lubricating oil to the hub of each new roller, then slide them into position where the old ones were. Secure the bolt or the spring clip so they are secure in place.
Place the drum back into the dryer and reassemble the cabinet in accordance with your dryer's instructions. Restore power once you've reassembled everything, and run a cycle to verify that the thumping has stopped.