It's fitting that Thanksgiving comes when it does--right after the sugar craze of Halloween and before the gimmes! of Christmas. By November 1st, I'm usually ready for an activity to remind my kids that Disney Junior does not, in fact, rule the world (or at least, try to convince all of us of it).
Last year, we used these Gratitude Conversation Starters. First, I printed the sheets out and cut out all of the slips of paper. I folded them and put them in a little dish we keep in the dining room. Each night, the kids take turns picking a slip from the dish and each of us answers the prompt. Then I record everyone's answers on a paper leaf (you can use this template to make them) and hang it up in the kitchen to remind us all month long of all the things we are grateful for.
It doesn't prevent my kids from begging everything under the sun in December, but it does give me fond memories of a time when they were grateful, if only for a few weeks!