Parietal and Visceral epithelia
Yes, the parietal pleura is on the wall of the thorax. That picture isn't great.  Each lung has its own pleural cavity, ie its own visceral+parietal.  Another important thing is the folding over.  Imagine the parietal pleura running along the inside of the ribcage...when it gets to the middle of the chest (the mediastinum), it folds over, or "turns the corner", and is now the visceral pleural running along the surface of the lungs.  The pericardium functions similarly, and so does the peritoneum/mesentery.  Here's another diagram that could help: