That's called a story board. As far as I'm aware all movies and a fair few TV shows do this because it's cheaper to sketch your idea out before you hire expensive camera crew, lighting, etc
A lot of effort (and lots of time) can go into the development of a show or film. Yes, it can cost quite a bit of money in absolute terms to go through multiple rewrites, conceptual development, storyboards, screen tests, etc.--sometimes over the course of years--but it's still generally dirt cheap compared to the daily costs once you flip on the production switch.