Continue steadfastly in prayer, being watchful in it with thanksgiving.
At first read you might get the impression that prayer is mainly about steadfast prayer, persevering prayer and a just to make it a little lighter or easier include a dose of thanksgiving!
Let me explain. If you came to me and told me that you were having to face a serious life changing decision I am more than likely going to encourage you to be watchful, as we all have a tendency to worry and over think things, but also to continue steadfastly in prayer.
Prayer is serious business. What we pray about are often huge things in our lives or the life of the church. Guidance, discernment, help and wisdom are all needed. James puts it very pointedly, “You do not have, because you do not ask” (James 4:2). So we pray, and we ask others to pray.
If we don’t pray we most likely will not receive. It is presumptuous to think that God will do for us what we desire without talking with him.
Having said that, prayer must be held in delicate balance with the equally important biblical truth that God is sovereign: nothing slips his mind or through his fingers. He will accomplish all his purposes. He “works all things according to the counsel of his will (Ephesians 1:11). He is able to do more than we can ask or imagine without us, yet there is this mystery that he chooses to act upon on our prayers.
That is why I believe Paul says we should be watchful whilst praying steadfastly so as to clearly hear what God is saying and to what God is not saying. Prayer reveals the sovereign plans of God but requires open hearts to receive those plans.
So how, in that context, do we pray thankfully, particularly when the outcome of our prayers may be different from what we first expected.
Paul I believe includes this phrase because he wants his readers to know and therefore us that, yes pray with great fervour and perseverance but remember this, whatever the outcome God is still God and is still seated on the throne. He is still worthy of all our praise.
So, what does it mean to pray with thanksgiving because some praying is agony, some desperate and some sad. To pray with thanksgiving is to acknowledge that God is actually there, alive and alert and never asleep. We do not speak into a vacuum or to a God who is preoccupied with other more important things. Also we can be assured that God will listen to our prayers.
 Therefore the LORD waits to be gracious to you, and therefore he exalts himself to show mercy to you. For the LORD is a God of justice;
blessed are all those who wait for him.  For a people shall dwell in Zion, in Jerusalem; you shall weep no more. He will surely be gracious to you at the sound of your cry. As soon as he hears it, he answers you.
To pray with thanksgiving is to understand that the God we pray to is able and omnipotent. Able to do do far more that we can ask or imagine (Ephesians 3:20). A wise Father who delights in giving good things to those who ask (Luke 11:13).
To pray with thanksgiving is to understand the privilege that God has chosen to include you in the process! God could have ordained that all his will be accomplished independently of our participation. But he didn’t he chose to use people like us to see he glorious plans fulfilled.
To pray with thanksgiving is to acknowledge that God is changing you as you pray. Wholehearted and humble intercession transforms the intercessor. Submission to him, listening to him, being obedient to him means his ways become more important than our ways.
To pray with thanksgiving is to pray with expectation that his will will be be done. Thankfulness, by its very nature, requires that we fix our focus on who God is and what God has done and will do. Thankful prayer is God focussed not me focussed.
In 2 Chronicles 20 Jehoshaphat and the kingdom of Judah came under siege by the Moabites and Ammonites. After their prayer seeking God’s assistance, the prophet Jahaziel came to them with a bizarre prophetic word: Send out the choir to confront the enemy troops and have them sing these words: ‘Give thanks to the Lord, for his steadfast love endures forever (2 Chronicles 20:21).
He instructs them to be thankful on the front end of the battle, before the enemy is ever engaged. Let the reality of God’s steadfast love fill your heart. Praise him for who he is. Rest in what he will do. “Stand firm,” he said, “hold your position, and see the salvation of the Lord on your behalf” (2 Chronicles 20:17).
When Paul says our praying is to be done with thanksgiving, he means that we should keep our eyes on the victory of God. God will do it his way, in his time with the outcome that is better for us and glorifies him.