First and foremost is teaching by example. When your kids see you act in a thankful manner, they will see it as a normal way to behave. Not only is it nice for children to see you being appreciative of others, but of themselves too. Next time your child gives you a spontaneous hug, be sure and let them know how much you appreciate it.
We've all seen children receive gifts they do not like, or which is a duplicate of what they already have. Be sure to give a reminder to younger tots about how their reaction may effect the gift giver. No child wants to deliberately hurt someone's feelings. Let them know if their is a problem with the gift, you will help them to work out a solution after the fact.
I also think the act of sending Thank You Cards is a lost art. Even the youngest of kids, with guidance, can finger paint their appreciation on a quick note, letting the gift giver know their thoughts and efforts were appreciated. I've told my children, "the gifts aren't really yours until the thank you card is in the mail."
Third, and perhaps the best lesson of all, is perspective. Some children have no concept of the fact there are other children who can only dream of what they have. Take the opportunity to have your child participate in a toy drive, food pantry or children's hospital cheer group. Not only will they see what other kids go through, but they'll be on the receiving end of the appreciation...and that is a gift all its own. Part of knowing how to be thankful comes from knowing what it is like to give.
Finally, there doesn't need to be a special occasion to recognize the many things to be thankful for. Thanks can be given any day of the year. Teach your kids to appreciate what it means to be healthy and to have people in their lives who love them. That is what they want most anyway, remind them how lucky they are to have it.
For more tips on getting the attitude of gratitude across to your kids, check out Parentdish.com.