The Thunder Lion sticker set was part of the little extras available in an issue of CoroCoro magazine.
Interestingly, only Silver Lion and Thunder Lion are metallic stickers, and both came from CoroCoro.
This sticker set also has stickers to put on Death Rex. And stickers of the characters’ versions in the manga.
Also no instructions as far as I recall. The amount of stickers is fairly minimal, so it’s really easy to figure out what goes where.