To anyone who has done thing before...

Can anyone walk me through how a researcher collects his data when using ethnomethodology for his thesis?If anyone can direct me to examples of studies using this methodology, I'd be grateful.

It depends on what type of ethnographic study you're intending to do. Essentially ethnographic research is about observing the community, so whatever data you can gather is fine. It might be diaries if you're an embedded researcher, it can also be data gathered from artefacts and documents.

That term has a specific meaning and tradition in anthropology and sociology. In other disciplines it may mean something different. It's important that you understand the context in which you want to or are expected to employ it.