Have each child bring something from home that they are thankful for.  Have a show and tell.

Blessing Tree from the Friend Magazine November 2004

Turkey Pattern from ChristianEdWarehouse.com- (in color) (in black and white) - Instead of using a hat like they have shown here, just use a paper or Styrofoam bowl. 

I taught a lesson in my preschool class in which I taught about things in life that Jesus gives us. I took small paper plates (desert size) and took construction paper , I cut large petals out of the construction paper and had each child write on the petals the things they were thankful for. In the center of the plate I wrote the word JESUS gives me....... in the center of the plate and glued the petals around the plate to make a flower, you can also glue a green pipe cleaner to make the flower appear to have a stem. This was a neat project and the kids enjoyed it. Each child's flower was different, because each child had different things in their life that they were thankful for. (Credit: Applesauce Kids)

Blessings Tree - You could give each child a blessing tree as a handout or somehow tie it into your lesson.

Turkey Hat

Spuds McTurkey

Gobble Up Turkey (cute edible craft)

Bear/Horn of Plenty (Handout/Craft Idea)

We make a rice crispy shaped turkey and cut feathers out of construction paper taped to a toothpick - one for each person with their name on it. Then we go around the table and say what we're thankful for as we put our feather on the turkey. You could do this and afterward sing thanksgiving songs while you cut up the turkey for a treat. (Kandi Chapman / ga10202006)

Thanker chief - Arrange the children in a circle. Pass around a "thanker chief" (handkerchief) around as they recite this poem:

Thanker chief, thanker chief, around you go --
Where you'll stop, nobody knows.
But when you do, someone must say,
What they are thankful for this day.

The player holding the "thanker chief" when the poem ends, must tell one thing, they are thankful for. This continues until everyone has had a turn.

Leaf Pattern

Handprint Turkey's with the following poem:

This isn't just a turkey,
As anyone can see.
I made it with my hand,
Which is a part of me.
It comes with lots of love
Especially to say,
I hope you have a very
Happy Thanksgiving Day!

Turkey Snacks or could be a handout: Using Oreo's, Another Oreo Version

Turkey Cupcakes: Version 1, Version 2

Mini cornucopias

We're doing a Thankful Tree. We've made a big tree out of brown butcher paper that says "I am Thankful For..." Each of my little ones is getting a leaf for the tree. With our help they are going to draw a picture and then we'll write what they are thankful for on the leaf. The leaves will them be put up on our tree for a few weeks. (Idea by Cindy Sparks)