How did Thomas and his friends shoot it?

There are two versions, one is a traditional cartoon, which is made like a normal two-dimensional animation. You can see the version where the mouth moves when the train speaks. The other version is shot by freeze-frame photography, that is, making small trains and characters out of clay or plasticine, and then shooting them one by one with a camera, so that when the film is shown at a speed of 24 photos per second, it looks like a coherent film. You can search for "freeze photography" in detail.