Create a page with your thank you message  somewhere, then create a link
to your survey  with "?source=/url/to/thankyou.aspx" added to the end.
Upon completion, the user  will be redirected to the URL for your thank
you page - no change to the actual survey required. See the "Join the
group" button  at http://www.psspug.org/ for an example.

I have used this solution successfully in the past.

However, it falls down if the survey  goes over more than one screen
(e.g. conditional questions), at which point the "source=" bit gets
lost from the URL. Do you have any suggestions for that?