Since Thanksgiving is a holiday focused on food and family, what would a vampire do? Would they celebrate? What are they thankful for aside from a plentiful food source and various blood types to choose from? How does the possibility of immortality play into that? Would a vampire be grateful for their long existence?
Many of the vampires we love to read about have human lovers or soul mates that may use the holiday as a way to stay in touch with family and friends for as long as possible. Humans may be willing to sacrifice all for love but I don't imagine ingrained human behaviors disappear overnight. Aside from the usual holiday trappings, Thanksgiving is a holiday for reflection and giving back, being thankful for the blessings in your life.
So do vamps cook turkeys? Work in the soup kitchen? Or ignore the holiday entirely and carry on like it's just another day?