I certainly can understand your feelings; this too will be my first Thanksgiving without my dear wife of almost 64 years, Ruth. I had always heard that holidays were especially hard for people who had lost a loved one, and it's true.
No doubt this holiday will bring a flood of memories to you, and it would be natural for you to feel a special sense of sadness and loss. The Bible says that when we know Christ (as you say elsewhere that you do), we know our loved one is safely in heaven–and therefore we don't "grieve like the rest of men, who have no hope" (1 Thessalonians 4:13). But that doesn't mean we won't grieve over our loss–for we will. Death is a stark reality, and with it come times of sorrow and loneliness.
At the same time, ask God to help you make this holiday a true Thanksgiving! Take time to thank God for the years He gave to you and your wife. Thank Him also for your family, and especially your grandchildren. Remember: Grief's darkness fades in the sunlight of thanksgiving. The Bible says, "Give thanks to the Lord, for he is good; his love endures forever" (Psalm 106:1).
Ask God too to make you an example of God's love and peace to others–especially your grandchildren. They also miss their grandmother, and God can use you this Thanksgiving to teach them about the hope we have of heaven because of Jesus Christ.