04 Grand Am

If your still under warrenty, take it back to the dealer. If you are loosing coolant, and not seeing a leak, then the leak has to be internal. It can be leaking into your oil, or into the intake and being burnt and out the exhaust.
If the thermostat goes bad, then you will have over heating problems. No overheating problems, and the thermostat is working normally.

2.2L or 3.4L?

If a 3.4L it is mounted to the end of the Intake manifold. It says you need to remove the crossover exhaust pipe to gain access to the Thermostat Housing. The houseing looks like a small metal tube that attaches to the upper radiator hose. The thermostat is under the housing I mounted in the intake manifold.

2.2L is probably just as much a pin. If you have an automatic tranny, you have to remove the exhaust manifold. Then remove the thermostat housing to water pump feed pipe. The thermostat is located under the pipe.