I think in Infinity War Thanos had the last gem, but that was later revealed to be a red herring. Later in the series, I THINK it was Eternity who had the last gem.....
I could be wrong though because it's been probably 12 years since I read those....
It has been a while but I believe in Warlock Chronicles #1 (A tie-in to the Crossover Infinity Crusade) revealed Thanos to be the holder of the Reality Gem. But I stopped reading Warlock and the Infinity Watch around then (issues 22 or so) so IMJ may be right about the red-herring thing. WOuld like to know if anyone finds out.
things like the infinity gems and the ultra-uber-super beings like eternity and eon and epoch and junk is kinda what made me stop liking marvel...too much power...although the infinity gauntlet got me back into comics because i liked that series (guess i'm a hypocrite!)
I am 85% Thanos had the 6th Gem. During Infinity War, Warlock tried to get the Gems back together to take down the Magus. They never came out and said Thanos had the Gem (Reality Gem?) but they heavily implied it.
Considering everyone, but Warlock, thought Thanos was dead it does make a sense.