The phrase "possess his own vessel" can mean a number of different things.
First, the visual imagery corresponds to the theme of being faithful to a cup—to the marriage commitment we have made. It could be translated, "that each of you should know how to be faithful to his covenant in sanctification and honor."
Second, this phrase refers to self-control, specifically of one's own body. The New International Version translates this verse as, "that each of you should learn to control his own body in a way that is holy and honorable." Paul, in instructing the entire church—both male and female, married and single—shows it is the duty of all to preserve purity with regard to relationships.
Third, this verse refers to the way one acts with regard to a spouse, present or future. The Revised Standard Version translates this as "that each one of you know how to take a wife for himself in holiness and honor." I Peter 3:7 likewise refers to the wife as a weaker vessel to which husbands are commanded to give honor.
Verse 6 includes the curious word "defraud." To get the full understanding of what Paul is teaching here, we have to examine part of the God-plane ideal of the male/female relationship.
God's ideal in this is that there is one (and only one) man for each woman, and one (and only one) woman for each man. It is very clear that God hates divorce (Malachi 2:16); He hates the breaking of that covenant, as well as the emotional pain that accompanies it, the scars that the children will have to bear, etc. As loathsome as divorce is to Him, however, sexual immorality is one of the reasons He gives for allowing divorce. He repeatedly warns against promiscuity, and He is very explicit that sex and everything that it involves are only allowable between two people who have made the commitment to each other for the duration of their physical lives.
Seeing I Thessalonians 4:3-8 in this light, part of our responsibility as Christians is purity within our relationships. We are responsible to control ourselves ("possess his vessel") in an honorable way without lust or wrong desire. We also have to make sure we do not "go beyond"—cross the line—and defraud or cheat anyone in this matter.
The essence of what Paul is saying here is that even before a man is married, he can cheat his future spouse out of something! A man can be cheated out of the experience of completely sharing himself with a woman, who is in turn completely sharing herself with him, in a way neither of them has experienced before. Even if a man is not yet married, in essence he already "belongs" to the woman that he will eventually marry, and vice versa for the woman. Even when not married, we have to conduct ourselves as though we are!
It is clear, then, that a man's body belongs to his spouse—whether current or future. This is the principle behind the many warnings against physical promiscuity. But it can go even further than that:
Imagine a young man who is determined to remain physically pure, and yet shares the rest of himself—his emotions, specifically—with every girl he meets. Every girl in the county knows his hopes, fears, dreams, the innermost workings of his mind. When he marries, he will have shared everything about himself except his body. How would his wife feel, knowing that all the other girls had already "experienced" him in all but the sexual act?
In the same way, imagine a young lady who remains physically pure but shares her emotions with all the young men she meets. She will have shared parts of her innermost being, things that really belong to her future husband. This is one reason why God tells us, "Keep [guard] your heart with all diligence" (Proverbs 4:23)!
It is just as easy to be emotionally promiscuous as physically promiscuous, if not more so. And the dangers are significant: continually forming emotional bonds, only later to break them; make them again with someone else, then break them; make them, break them. It will not take long before emotional calluses begin to develop, and a person is unwilling to share him/herself anymore because of the inevitable pain that results. When these calluses develop, it is very difficult for any future relationship to be anywhere near as fulfilling as what God intends.
I Thessalonians 4:6 begins to take on an even deeper meaning when we consider that a basic definition of the word "defraud" is "to promise something one cannot or does not intend to deliver." Today, many practice flirting. Along the same lines as emotional promiscuity, this kind of defrauding promises—either blatantly guaranteeing or merely appearing to—one's emotions, commitment, affections, etc., without meaning to or being able to follow through. Flirting gives the appearance of interest, or it may even be genuine interest, where one cannot follow through with his "promises."
In the modern game of flirting, for example, a young man may behave in a manner that does not match up with his true intent. If he is demonstrating in his actions that a certain girl is the one (and only one) for him, yet is unprepared or refuses to follow through with that process, the girl has been defrauded or cheated. The man has been "promising" an emotional bond without following through. No wonder the Bible says, "Charm is deceitful and beauty is passing" (Proverbs 31:30)!
If we consider that individually we belong to our present or future spouse (physically and emotionally), we can see that certain actions are far from the ideal. That is, if it is inappropriate for a man to interact with a woman in a certain way if he were married to another, it is most likely still inappropriate even if he is not yet married.
This same principle applies on the spiritual level, and the stakes are much higher. Proverbs 19:14 tells us that a prudent (sensible, understanding) wife is a gift from God. When we apply this to the New Covenant church, it reiterates that it is God that chooses who will be a part of the Bride for His Son. God the Father will be faithful to provide a wife that is prudent, sensible, etc., for His Son.