Go around asking each other what you're thankful for. Write the words (or draw pictures of the words) on the rocks with a Sharpie. (My kids aren't old enough to read/write yet--but, of course, if you've got older kids, let them do this step on their own!)
We all took turns sharing and it was fun to hear what we were thankful for (frogs, rocket ships, God, ballerinas ). We did this a few times throughout the week until we had a pretty good collection of rocks with little notes on them.