Use the Bible to make your children aware of people who thanked God. The first Bible story that comes to mind that has to do with thanks is the story of the Ten Lepers in Luke 17:11-19. Ten lepers came to Jesus and were healed, but only one came back to say thank you. At Amazon.com you can buy an Arch book about this entitled He Remembered to Say Thank You. Our children loved the Arch Books as they tell the Bible stories in rhyme and the pictures are very colorful. There are many Bible stories available in the Arch Series.
The story of Hannah A Mother Who Prayed (also an Arch books) is an example of thankfulness as she earnestly prayed for a child and when God answered her prayer, she gave Him thanks. This story is found in 1 Samuel 1 and 2.
The Psalms are full of David’s thank yous. And Paul talks often of his thankfulness for various things.
If you don’t have the books, read the stories in the Bible for yourself, and then tell them in your own words with expression. Be creative and use visuals. For example for the Ten Lepers you can make 10 paper dolls with dots all over them on one side and then flip them over to reveal the spots are all gone when you talk about Jesus healing them. Have all of them leave, and then one of them comes back to thank Jesus.