How can I write my thesis statement about my research paper on why we dream, how our dreams are formed, and how our dreams effect us?
Your Thesis statement should be an opinion that is backed by fact you dug up in your research, e.g. Naval strategies have not changed significantly, but the tactics have adapted to changing technologies.
I don't know much about your research, but you probably have found out information about why we dream, so you could write a thesis statement about why we dream, Just for example: "We dream to defragment our memories," and then back that up with your research.
You could also make your thesis about how dreams form, again based on what your research found. Your best bet though, would probably be trying to answer "How do our dreams affect us?" Why and how we dream is still very nebulous and mysterious, but reactions to dreams are well documented.
You have good questions on which to research, and the answer to one of those questions should be your thesis statement.