When i pray in thanksgiving, i am saying that God has done it for me before and He shall surely do it again. I ma being grateful for what He has done before, is doing and continues to do. Not only that, i am saying, "Lord i thank you for this need", if i had everything i need in life, if i was content, it will come to a point where i am too self-centred to even go before the Lord. Even when needs are not met, thanking the Lord for enabling you to have a relationship with Him goes a long way. When you ask for something from anyone and you never say please or thank you, chances are the next time you ask, you might not receive.
Thanksgiving increases our faith as we pray. We are confirming who He is. If i list all the things He has dine for me then i will be a fool not to have faith in the Almighty.