Is this a problem!
 

Help me with this. While my car is parked, I turn my steering wheel to either all the way to the right or left and I hear this thump like sound. Sounds like somethings lose on both sides when I turn the wheels. Should I be concerned about this!

Since this only seems to happen when you are at the steering lock, I don't think yo have a problem.

You may want to check your ball joints and tie rod ends just to make sure though

AFJ

Do you hear the thump while you are turning or only at the end?

I hear it when turning

try having someone watch the rack while you are turning the wheel, maybe they will see something loose

If you hear it while turning, I think I would have it checked out by someone that can spot a faulty part. Sounds like you may have something loose or worn.

These guys have covered things pretty well. If it was me, I'd want to know where the dog is...