Instructions
Find Thunder Stones by diving underwater and searching for raised bumps on the seafloor, which indicate hidden items. In order to dive, your Pokemon needs to have been taught the Hidden Machine move Dive.
Collect Yellow Shards, which can also be found by diving, in order to trade them to the Shard Master, whose house is just west of Mossdeep City, for Thunder Stones.
Go to the Cycling Road. Surf on the water under the bridge until you come to a building; this is the New Mauville complex. Enter the building and you will find a Thunder Stone.