How would this have worked? Are they any animals today that do something similar?
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While that was the leading theory at one time, it has been seriously questioned. Nowadays the leading theory is that they were for display, either to attract mates, intimidate rivals, or deter predators.
Regardless, the thermoregulation theory goes that the plates would have been full of blood vessels, and the greatly increased surface area would have acted kind of like a heat sink, cooling the animal. Alternatively, the animal could have used the plates to catch more sunlight and thus warm its blood quicker.
One knock against this theory is that most related stegosaurs like Kentrosaurus had long pointy spikes, not big flat plates, which would not have been nearly as effective for thermoregulation.
There are animals today that do something similar: elephants. Their ears are very thin and full of blood vessels which, combined with flapping of the ears, gives a large surface area to dissipate excess heat.
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