Nevermind! I just found a way to do it.
add_filter( 'post_thumbnail_html', 'my_post_image_html', 10, 3 );
function my_post_image_html( $html, $post_id, $post_image_id ) {
$html = '<a href="' . get_permalink( $post_id ) . '">' . $html . '</a>';
return $html;
}
Added to the Theme functions php file.