First, it has been a few years for us but DD opened the Macy's Day Parade approximately 5 years ago.
We stayed at the Sheraton Twin Towers. If booked early (like months early) you can get a better price. We have also stayed at Waldorf Astoria - very expensive, and right in Times Square at the Marriott Marquis. I actually enjoyed our stay at the Sheraton Twin Towers. So I would recommend looking for a good price.
We walked out of the hotel Thanksgiving Morning around 7am/8am, not the 5am some recommend. We took 52nd, Street to Broadway and got front street seats. The was also an area where the floats with performers stopped with commercial breaks. I thoroughly enjoyed this area. Make sure to have a system to go to use the bathroom, coffee runs, etc. I looked and I was able to get a room around $239.00 but that is now. You need to be diligent and keep looking.
If you walk out the side door (not onto 7th. Avenue there is a deli right there with excellent sandwiches and great prices. Great egg sandwiches, then buffet stuff later in the day. Prices for things like chips were reasonable for NYC standards and we did utilize this for breakfast, lunch, and late night snacks.
As for what to do:
We did the following (we were there about the same number of days, maybe a little longer as DD had to take classes and then performed with Spamalot for a rehearsal one day, and we needed to do fitting - Law/Order was in the same building, oh so cool!!)
Okay:
Statue of Liberty ferry ride is free if you just want to look.
One night most likely Monday and or Tuesday they rope off in front of Macy's and do a once through with all the performers. Ask in the store when you arrive and arrive to this early get a front row seat *roped off, and watch the go through. No one really performs, but many were giving picture ops and autographs.
Walk down 5th. avenue to see the windows. This can be a WHOLE day trip.
Visit the American Museum of National Art, while there is a price it is a "donation". You can give what you can afford, and then visit Central Park that day also. Very nice walk around. Very beautiful, and a great day to decompress. I know it's cold, but if you have never had Pinkberry, stop and get a frozen yogurt. Very good. You WILL ONLY get through one Museum per day.
We also did MOMA - Museum of Modern Art as my kids are very into art/culture they are a bit older.
Visit Rockefeller Center one evening, walk around, do Top of the Rock. Depending on your touring plans, we walked down to Times Square for the end of the evening.
Dinner on Thanksgiving. You can use the internet, look around as many places have a Traditional Meal. We dined at Ellens Stardust Diner where the waiters/waitress'es sing to you. RESERVATION A MUST NO MATTER WHERE YOU EAT! This was a great choice for us as they have comfort food.
We shopped. We shopped, We shopped.
See an off-broadway show. Use
www.broadwaybox.com
The night before they do the balloon blow-up. It is overly busy, but it is really cool. Google pictures. Well worth the walking slow and holding onto your children if this is a once in a lifetime.
Dress appropriate. While it may seem cold and snow, it turns to huge puddles. Cold weather, wet socks - visit to hospital!
Other favorites that we ate at, and yes we did the cheesy places and some more upscale, but we loved it:
Olive Garden - okay, I know, your in NYC but late lunch bread/soup/salad that you are used to equals happy people. Same with Fridays but BE PREPARED for huge price differences.
John's Pizzeria
Mario Batalias pizzeria called OTTO - the cheese platter and the Gelato are worth the trip. (I can't remember if it is up or down, I always get confused)
So that was our trip. Very expensive, very fun, and worth every penny. I am secretly planning a trip in a few years to go back.
We found after dinner on Thanksgiving - NOTHING was open. I would look into maybe a movie or theatre club. Other than that, use it as an early night and do some black Friday at Macy's. They give out cards. Mine was worth $300.00. Nice surprise, and the Apple store will have any teenagers drooling!
Have a great trip. Hope some of these ideas help.