If the student's unhelpful thoughts are related to anxiety or phobias, then I sometimes introduce this idea using the book Something Might Happen. The main character in this (very funny and silly) story has several unfounded worries that he eventually gets over.
Students and I can examine one of the character's thoughts and decide whether or not there's evidence to support it.
Then we get to the tough stuff - the student's thought! Here's an example of one I did with a 3rd grade girl about her thoughts that her parents being outside indicated something had already happened or was going to happen. I circled the evidence she thought was most powerful and then I sent this home with her to share with her mom.
I do this activity at least once a week and while it usually goes as planned, it doesn't always. Sometimes students are ready to examine their thought(s) and sometimes they are not. I've found that this activity works best with kids that are ready to accept help for their symptoms and can accept that the situation cannot be changed.