Actually, now I've figured it out. In order to overwrite the media Preview or form, you should overwrite the form widget, or customize your form theme.
Example: In the config.yml file add the configuration:
twig:
form:
resources:
# other files
- 'AdminBundle:Form:mediaPreview.html.twig'
The media preview file should look something like this:
{% block sonata_media_type_widget %}
<< your code here >>
{% endblock sonata_media_type_widget %}