Well, I only have one child, but I think we're doing a pretty good job of teaching thankfulness.
I read a post on a message board a while back about someone whose children were extremely thankful. They would always thank their mom for everything. Instead of whining when they left the park, they would say "Thank you Mama for taking us to the park!"
We started from a very young age teaching DD to say thank you for everything. For the longest time, we would just tell her to say thank you and she would repeat us. Now she says it all the time on her own accord. And when we're out and about she extends her manners to friends, family, and people we don't know (such as waitresses, cashiers at the grocery store, etc.). We have also done the same thing with "excuse me." (We work on please, but it has not become automatic with her yet.)
We get lots of compliments and smiles when people see her being so polite. She just turned 2 a couple of weeks ago.
At times it can feel weird, because you'll do something like give her a cookie, and then you tell her, "Say 'thank you, Mommy.'" And then make her say it. Then I am sure to tell her "you're welcome." (gotta show her my side of the manners) But the payoff is when it starts to become a habit and lifestyle for your little one. I think just saying it starts to lead to a more cheerful heart. Also, you have to be sure that you are leading by example. Let your child hear you thanking and praising others. And talk to (or in front of) your child often about the things you are thankful for (including him/her and his/her father). Find little things to be grateful for, and be sure you share these things with your child. Our most powerful influence is leading by example.
We also talk to her often about how good the Lord is, and how He takes care of us, and how thankful we are for all that He does. This is building a trust and faith in the Lord in her little mind
What we do has worked wonderfully with our DD. But you just have to be consistent and keep after it.