To what extent does a character's obsession lead to his/her success or failure in Macbeth and The Great Gatsby? How do I form a solid thesis and find good points to write this essay?

You might want to compare and contrast the title characters in both Macbeth and The Great Gatsby. You could say in a thesis that both Macbeth and Gatsby are brought to destruction (failure) by their obsessions, but that while Macbeth's obsession with power at all costs robs him of his humanity, Gatsby's obsession with Daisy elevates him to a level above the average person, and makes him more, not less, humane.
You would first want to find evidence in the texts that the two characters' obsessions lead them to failure and destruction. This is fairly easy, as they both end up dead. Gatsby does not obtain the object of his obsession, Daisy, who choses to go back to Tom. Then Gatsby is murdered by George Wilson, who thinks Gatsby heartlessly ran over Myrtle, even though he did not. If Gatsby had not been in love with Daisy, he would not have been in the car with her when she killed Myrtle and thus would not himself have been killed.
Likewise, Macbeth's murderous path is the result of his obsession. In his case it is his ambition that does him in. His seizure of the throne through killing Duncan leads to his defeat in battle and his death. He does not reign long, and his reign is a miserable failure because he becomes a tyrant.
Macbeth starts off with a conscience and debates whether to kill Duncan, a good king. You can find quotes about him wanting to back out of the idea of murdering a good ruler early in the play. But by the end, such as in his final soliloquy, he is hardened. You could find a quote from the end that shows his disillusionment and despair (look at his "tomorrow and tomorrow" soliloquy). Getting the throne has left him miserable.
You can show Gatsby having reached heights of grandeur through what Nick has to say. Nick admires Gatsby very much. You can find quotes on what makes Gatsby rise above the pack in chapter one and at the very end of the novel.
I hope this helps. Obviously, these are only suggestions, and you might want to go in a very different direction. Just make sure that you back up your arguments with quotes from the texts!