Often when writing about a story's narrative, the student can focus upon one of the elements of the short story that predominates. In Jack Finney's "Contents of the Dead Man's Pocket," the element of conflict is certainly the most salient. And, the manner in which Tom Benecke resolves his conflicts is also of great interest to the reader as he allows his wife to depart without him in the beginning of the story only to find himself crying her name in his last effort to save his life on the apartment ledge. Indeed, it takes a near-death experience for Tom before he understands the true values of life.
Out of the excellent suggestions provided in #2, I would strongly suggest that the ending would be an excellent basis for your thesis statement. Let us remember that at this stage we see the transformaton that Tom Benecke has undergone. He has gone from abandoning his wife and what is important in life for the sake of his work, to now completely occupying the opposite position. Examining the end and investigating how this change occurred would make for an excellent essay.
For a thesis statement, you might analyze the following quote to see what reflections you might have on the philosophical ramifications of this pivotal moment in the story. It is pivotal because it represents the moment at which his fate is decided:
"It's just that I hate you to miss this movie; you wanted to see it too."
"Yeah, I know." He ran his fingers through his hair. "Got to get this done though."
She nodded, accepting this. Then, glancing at the desk across the living room, she said, "You work too much, though, Tom--and too hard."
The next quotation provides his motive for his actions and may lead to an interesting thesis statement itself:
He smiled. "You won't mind though, will you, when the money comes rolling in and I'm known as the Boy Wizard of Wholesale Groceries?"
Of course the ending is quite thought provoking and might lead to a well-considered thesis statement:
As he saw the yellow paper, the pencil flying, scooped off the desk and, unimpeded by the glassless window, sail out into the night and out of his life, Tom Benecke burst into laughter and then closed the door behind him.