So exactly how does this work?

The idea is that the day of the Lord will come LIKE a thief in the night (that is, suddenly and unexpected), not with malicious intent like an actual thief.

That went over your head.

You asked how it works. So I did.

Answer, that is

Well, Day of the Lord doesn't literally refer to day. It simply refers to the time when Christ will return to Earth and overthrow evil, then make Heaven and Earth new, and gather His followers up to spend eternity with Him.