wondering if sign language has the concept of words,
The notion of "wordhood" is fluid enough that we can make either of the following claims:
a sign is equivalent to a word
a sign translates to a word, or a word translates to a sign (so then a word would be something that doesn't directly apply to sign languages)
a word consists of signs
a sign consists of words
Some of these notions are mutually exclusive, some are not. But, (and this goes for under-researched languages generally), importantly, what we're lacking is a precise definition of "word". And a precise definition of "sign" is lacking too. (that's not a shortcoming of your question, mind you!)
what their concept is for the "signs" they create (maybe they are just called signs instead of words, or "symbols").
So what about some examples?
Take the English word "champion". In Chinese, that's 擁護者, which is a verb, 擁護, and an agentive suffix 者.
In ASL that's two signs,
champion and an agentive suffix.
Hang on, is it two signs? Well it's two morphemes, just like that Chinese word, and it's certainly two syllables, but we could easily say it's one word because agentive suffix can't stand on its own.
Take the English word
interrogate. In Czech, that's "vyslýchat", and that's three morphemes. "vy-" means "out" (here in the sense of "extract", "-slých-" is to do with listening, and "-at" is infinitive.
You could render that in ASL as
ask ask ask ask ask ask ask ask (I'm being serious!).
That's definitely one word, and I suppose it's one sign as well, just reduplicated, alternating between left hand and right hand.
Take the English phrase "to get on a bicycle". In ASL, that might be
bicycle get-onto-an-upright-vehicle. You could say that's two words, with the first one being "bicycle", and the second one being "getting onto an upright vehicle". But that second word/sign could be broken down further: The upright vehicle is a classifier (do this with your left hand) and getting on is a verb (do this with your right hand). And that's not the end of it: with your face you'll usually be indicating a tense or nominalisational morpheme, and you could be showing a perspective with your shoulders as well.
I just want to know if people who speak sign language actually use the terminology "word"
Only sometimes, and only loosely. And only hesitatingly, because "word" is a term which applies more readily to a typographical word (one which has letters in a row, and usually a space on either side). So not really.
So I hope I have shown you: signs are not words, nor are words signs. They don't translate directly to each other. But at least some of this is because we have a hard time pinning down exactly what a word or sign is.
Also would be interested to know what their equivalent of sentences are.
Now this is much easier to answer!
A sentence (as a discourse unit) is the same thing in all kinds of languages, spoken or signed.
In defining sentence as discourse unit, I'm including utterances like "well yeah..." and "hey! hey you!" and "why did the chicken cross the road?" Sign languages have exactly the same thing, and they are easily called sentences.