Difference between thoughts and sensations I am interested to know how to distinguish sensations from thoughts, according to the techniques and concepts of neuroscience and psychology. Is there an explicit distinction between them, or are there cases where the instrumental techniques and theoretical concepts fail?
Short answer
Sensations are different from thoughts and are separated in the spatial and temporal domain. The distinction between thoughts and perceptions, however, is less well defined, but can still be dealt with experimentally.

Background
A description of sensation is as follows: 


  The physical process during which our sensory organs [...] respond to
  external stimuli. [...] During sensation, our sense organs are
  engaging in transduction, the conversion of one form of energy into
  another. Physical energy such as light or a sound wave is converted
  into a form of energy the brain can understand: electrical
  [impulses generated in neurons]. 


Sensation precedes perception, which includes the process of processing stages higher up in the brain, during which we become aware of the sensations and make sense of it all (integration).

More concisely, sensation is the detection of physical stimuli by low-level, peripheral neural processes. Perception is the processing of sensations that lead to becoming aware of the sensation, the latter mediated by higher cortical processes.

Thoughts are generated centrally in the brain, without the need for external input. So to answer your question - thoughts are generated in the central nervous system in the brain, while sensation occurs peripherally, e.g., in the eye (detection of light by the retina), skin (detection of touch by mechanoreceptors), the ear (setection of vibrations by the mechanoreceptors in the cochlea), etc. Electrophysiologically, a sensation hence will occur at an anatomically different place and will precede the activity in the brain in time. These two processes are separated both in the spatial and temporal domain. Note that thoughts can not activate peripheral sensory systems.

Perhaps you were more after the distinction between perception and thoughts? Here, the distinction becomes less well-defined, as imagery of sensory input may activate sensory brain areas in much the same way as the factual perception of a physical stimulus (e.g., Aleman et al., (2001)). For example, brain imaging studies in late-blind folks (people that lost their eye sight later in life) and even in the congenitally blind, can be complicated because of this. When brain activation is tested in a blind person using a vision aid (e.g. BrainPort) when looking at visual stimuli, the activation pattern can be dictated or compromised, because they can imagine the stimulus to be there based on early memories when they still had functional vision. Hence, the distinction between thoughts and perceptual phenomena is less distinct. Nonetheless, perceptual phenomena are preceded by sensation, while imagery is not. Hence, this causality of the former can distinguish it from the latter.

Reference
- Aleman et al., Neuroreport (2001); 12(11): 2601-4)