A sexual act involving filling a woman's anus with danish cream filling via a turkey baster, then two or more males engage in sexual intercourse with said anus. Afterwards, everyone eats the danish cream filling, hence the "thanksgiving".
Baltzer: "So I was at my friend Sigmund's house with some other guys and this freaky chick Adelina let us do a Danish thanksgiving on her!"
Lars: "So did you eat the Danish cream filling?"
Baltzer: "Yeah man you know it!"
Lars: "Wow you're one sick fucker"