Which of the following is not one of the steps to developing a working thesis statement? Write an essay. Do preliminary reading. Draft a statement. Change or refine the statement.

I'd say that the option which is not one of the steps to developing a working thesis statement is the first one - write an essay.

You should write the statement first, and then the rest of the essay. The thesis statement is there to guide you during your writing process - it doesn't go the other way round.