This should be easy in the case that the PDF has page previews built-in - just get the first page. However page previews are becoming less common, unfortunately. The fallback for PDFs which don't have them would be to use poppler to render thumbnails for xfe. There are lots of file types that don't have thumbnails in xfe, but I have a lot of PDFs so this is a high priority for me. ;-) Dolphin and Konqueror have an annoying limitation, not rendering thumbnails for files larger than 100MB. It's stupid for PDFs because it's not hard to get the first page regardless how large the file is.
I don't understand why thumbnail storage isn't standardized by now. The ultimate solution I think is that a daemon could use inotify or some such to monitor for new files, and render largish thumbnails in the background, storing them in extended attributes on the filesystem. It should try to do this efficiently for every file type, using separate thumbnailer helper programs rather than having to link against a million libraries. Then xfe (and every other file manager) could just display those (scaled down appropriately) if they exist, and have no responsibility to generate them if they don't. But entropy and momentum being what they are, I guess that's not going to happen anytime soon, and I need a file manager that works with PDFs at least as well as the Mac Finder does (but faster).