I live nearby. If you have a car and feel like driving, I would go to the Zoo and do the Festival of Lights. It is about a 30 minute drive.
Just down 71 is a great Mall, Kenwood Mall. Lots to shop and eat. But...not sure I would venture there on Thanksgiving Weekend.
North about 20 minutes is Cincinnati Premium Outlets. It is a newer Outlet Mall with 2 huge Flea Markets across the street.
Oh, and maybe the Museum Center at Union Terminal. They have an awesome Kid's Museum and Natural History Museum.