Well first thing, when the engine is cold, is that you have to check the coolant level to see if you're losing coolant, and how much. If you are way down, then you need to fill it up and then do a pressure test on the cooling system to see if you have a leak somewhere (you can buy these pumps at Kragen or Autozone and they come with instructions).
A stuck thermostat is usually a pretty FAST overheat.
If there are no leaks and the car continues to overheat with full coolant, then yeah, you should pull the thermostat and test it by immersing it in hot water to see if it opens.
Other causes of overheating might be a slipping serpentine or drive belt (that drives the water pump), a clogged radiator, collapsed radiator hoses (soft, mushy) or a bad head gasket.