Conversion is the foundational experience of Christian life. It involves the initiative of God's gracious effectual action which provokes a two - sided response. It primarily involves 1) the sovereign grace of God working faith in sinners toward Jesus Christ... and 2) God's work in the granting of repentance from all known sin and our renouncing of all self-righteousness. This will always include an acknowledgment of woefully having fallen short of God's glory and holiness and confessing Jesus Christ as the Son of God, the all-sufficient Savior and LORD, the sole means by whom one's sin can be atoned for and therefore the only way of salvation (John 14:6).
Heidelberg Catechism in Lord's Day 33 says Conversion is not only related to a one-time event when we believe but is also "a daily killing of the old man." That is, conversion is a deep, daily sorrow for sin before the cross of Jesus Christ. Yet it also involves a quickening of the new man in us as we look to Him. It is where one brings the burden of his sins to Calvary. A daily battle, a daily fleeing from sin, a daily hastening to the cross with an increasingly urgent longing to leave this life of sin which is nothing but a continual death, in order to be at last in the everlasting perfection of the resurrection body when heaven and earth are one - that is conversion. - Coram Deo
Why do you "thank" God for your conversion? It is because you know in your heart that God was entirely responsible for it. You thank God because you do not attribute your repenting and believing to your own wisdom, or prudence, or sound judgment, or good sense. You have never for one moment supposed that the decisive contribution to your salvation was yours and not God's. You have never told God that, while you are grateful for the means and opportunities of grace that He gave you, you realize that you have to thank, not Him, but yourself for the fact that you responded to His call. Your heart revolts at the very thought of talking to God in such terms. In fact, you thank Him no less sincerely for the gift of faith and repentance than for the gift of a Christ to trust and turn to." J.I. Packer
Related: Word and Spirit - Salvation - Regeneration