Here's a (manual but rather quick) way to do it:
Go to Settings>Media, set Default media links to File and Default media links to Thumbnail (with suitable numbers for the thumbnail size, say 100-100), save.
Then go to your media library. Open a new window in your browser, go to Write>Page (visual editor), drag-and-drop the images from the library to the page editor, publish.
Depending on the theme, the result may or may not look ok (in some themes the thumbnails have frames and/or space around them while in others they get stuck together), so you may have to to do some editing afterwards (or switch to a suitable theme, if yours isn't).
If the images are too many, you can use this code (in the html page editor) every once in a while to break the total into a sequence of numbered pages: