It's possible to track conversions without a thank you page, but having a thank you page makes the process easier.
Perhaps more importantly, the thank you page is a golden opportunity to reinforce your value proposition with your new lead at the point where they're likely most receptive to your pitch. You can reassure them they've made a wise decision by giving you their contact information (or subscribing to your newsletter, or downloading your white paper, or whatever it was they did to generate a lead for you) and re-state the benefits of what you're offering.
A thank you page is useful in more ways than one. Personally, I would almost never create any sort of form without some sort of thank you page.