Thanking somebody is more than a customary gesture...It will earn respect and a feeling of true appreciation from the recipient of your gratitude. They will know they made the right choice, and you will feel less indebted, but equally as grateful.

[edit] Steps

Swallow your pride. You may be less inclined to thank somebody if you feel as if you deserved whatever they did for you. On the other hand, do you remember being thanked for something that you considered to be routine? It creates satisfaction for the giver of an item or reaction that you are openly admitting that you appreciate their efforts and time.
Don't overdo it. Telling somebody thank you for every little thing will lessen the impact of a genuine show of appreciation. Just like, "I love you," use it sparingly, intensely, and not passively or cordially. Getting a person's eye contact is a small gesture to ensure appreciation and truth in giving your thanks.
Don't forget. Put yourself in the position of the person who has done the thing worth receiving thanks for. Several times per day, somebody is doing something for you, if it's their job or duty, or just a gift of time and attention, it's something for you. Always remember that. For example, finish your emails with "Thank you for your time and attention" because you genuinely appreciate the fact that somebody has taken the time to read your email and perhaps honor a request or acknowledge some information.
Put it in writing. If someone has given you a gift or invited you into their home, take the time out afterward to write a simple thank-you note and send it by old-fashioned snail mail.
Change your wording. Try phrases such as, "I appreciate that," "That was nice of you/kind of you," and "I owe you one," preceding "Thank you" or "Thanks."
Be specific. Tell the person how what they did or what they gave you will make your life more fulfilling. For example, if someone gave you a digital camera, in addition to saying "thank you," say: "This will be perfect for taking pictures of our new baby. I've been dying to send pictures to our friends by e-mail, and now I finally can."

[edit] Tips

Don't use "thank you." Be thankful.
Ask a close friend or family member to tell you the last time somebody thanked them for something, and remember what that means the next time you're out of the house.
Even when you miss an opportunity to thank someone, feel the respect for what that person or those people did for you. Get into the habit of appreciating other people doing things for you.
For anyone who has read Carnegie's' How to Win Friends and Influence People, thanking somebody should seem a relatively easy and routine task. But it isn't. Remember, before anything else, that if you don't thank somebody, they may not mind, but they will remember it.