I'd use a bv page for this. You'd probably want to create a new page template to use.
All you would have to do is put all your thumbnails on the page and link each one to the larger version.
<a href="path/to/big/image1.jpg" class="group1"><img src="path/to/small/image1.jpg" alt="" /></a>
<a href="path/to/big/image2.jpg" class="group1"><img src="path/to/small/image2.jpg" alt="" /></a>
<a href="path/to/big/image3.jpg" class="group1"><img src="path/to/small/image3.jpg" alt="" /></a>
<a href="path/to/big/image4.jpg" class="group1"><img src="path/to/small/image4.jpg" alt="" /></a>
Add the Colorbox lightbox into the mix.
http://www.jacklmoore.com/colorbox/Add this inside the <head> tag of the custom page template you create:
<script src="https://ajax.googleapis.com/ajax/libs/jquery/1.10.2/jquery.min.js"></script>
<script src="path/to/jquery.colorbox.js"></script>
<script>
$(document).ready(function(){
$(".group1").colorbox({rel:'group1'});
});
</script>
You'll have something like this:
http://www.jacklmoore.com/colorbox/example2/ only instead of having text anchors, you'll have image thumbnails. Every thumbnail with a class of group1 (in this case) will be navigable within the lightbox using the arrows.