The thesis should convey the theme or themes your essay will discuss.
The topic sentences in your essay should identify the subpoint from the thesis that the paragraph will develop.
All body paragraphs should have concluding sentences that wrap up the paragraphs.
Paragraphs should have transitions between them. 
The body paragraphs should quote from the play and analyze the quotations from the play in terms of their meaning.
Body paragraphs should quote, summarize, or paraphrase sources about the play to supplement the analysis you are making of the play.
You should use present tense to discuss the action of the play. Also, use present tense to integrate passages from the play and passages from your sources. Use past tense only to discuss events that occurred prior to the time of the play.
You may also quote from sources discussing the issues you are discussing.  For instance, a research paper on  Death of a Salesman could use a source on the economy during the 1940s or the American Dream in general, or a paper on A Doll’s House could discuss the status of women during the nineteenth century in Norway.
The introduction should provide an overview of the essay, provide a brief summary of the play, and connect the play to life in general.  The thesis should be at the end of the introduction.
The conclusion should have a restatement of the thesis, a summary of the essay, and a comment on the value of the play to readers/viewers.