How do you know where you're already a thane?

I believe the easiest way to know if you're a Thane in a given Hold, is to see if you have a Housecarl there. (This presumes you haven't taken them with you into battle already, and left them behind or gotten them killed.) Usually, your Housecarl will be waiting for you in your house, or in the Jarl's hall if you don't have a house.

Save the game in each city, commit a crime (punch a guard), and see if the guard gives you the option to play your Thane Get Out Of Jail Free card. This assumes you haven't used the card in any city yet.

Every thane receives a housecarl, although you have to do the civil war quest line in a certain way for Moredeth's houscarl.