To me, thanksgiving is exactly that; giving thanks! The Faithful and the Holy don't need the States to designate a day for us to give thanks unto the Father, our KING on High. I do that everyday I'm alive, for there is much to be grateful for, such as the salvation we have in the sacrifice of the Holy Son, by having faith. There's the wisdom the faithful gain as they learn everyday the things which the Father teaches us, and also the miracles which are shown to us that one can only understand if they believe in the Father's works such as the resurrection of the Son from the dead, which has led us unto redemption. There's the friends and family who are of the body of the Holy Anointed, and there's everything we take near for granted, such as the very breath we take in.
I'm thankful always, and don't set one day aside to state it.