While writing this I answered most of it myself however if you find a better answer I would love to hear it.

Hmm that brings up a good point. How would I differentiate between Under/Rough drawing/sketch, sketch, drawing and painting?

Rough drawing (A preparatory drawing to plan out an artworks foundation such as perspective, proportions composition etc. It can also mean a really really messy sketch)
Sketch (A drawing that was made quickly and thus a bit messy)
Drawing (The next stage after sketch where it’s been cleaned up and refined.)
Painting (A work done using a liquid(or simulated) medium. Traditionally mixed with pigment such as but not exclusively: oil or water)
Illustration (Artwork done for published media such as magazines, posters, books etc. Often but not always paired with words. Or to illustrate as in to demonstrate a point using examples which are called illustrations.)

The following I found.
絵（え）Throws Picture, Drawing, Painting and Sketch into one ambiguous kanji. Useful but not specific.
写生（しゃせい Life Drawing. Relevant but does not define the above words.
挿絵 (さしえ)　Illustration.

絵画　（かいが）Painting
油絵　(あぶらえ) Oil Painting
水彩画 (すいさいが)　Watercolor Painting

スケッチ Sketches
デッサン Drawings

Rough drawing was difficult I had to get creative and combine two words.

雑スケッチ (ざつスケッチ)

I got one for you. I am working through the passion vocab list and well I am having a hard time finding the word for thumbnails. It’s a artist thing where you make several really small drawings to test out compositions.

See Here for example.

So far the words I have found have been more used for computer thumbnails, actual thumbnails and preview thumbnails such as things for sale.