My hypothesis is that what you're doing wrong is caring what a six year old thinks.
Sorry, I disagree wholeheartedly. I can't imagine looking at my 6yr old son, saying "tough, it's this way because
I say so! Well, maybe if I just spent the past 5-10 minutes trying to explain the same thing over and over, but that would simply be a shortcoming of mine (that I couldn't be more patient).
What we do:
#1, when each of our kids turned 4, they started receiving an allowance. Yes, an allowance with no strings attached, no chores to do, just money to spend however THEY choose. Blasphemy, I know! BUT...this comprises the vast majority of the funds used to buy them "stuff". I.e. we may spend $10-$20 on them at Christmas and on birthdays (and I may occasionally break down and buy something like a $50 android phone, because I wanted my son to have a camera, but this is rare). He wants a roboraptor, he saves up his money. Bicycle, same. $20 Harry Potter costume that I think is absolutely ridiculous...sure, if they have the money. This way, I'm in control of how much money they get, and they're in control of the toys they get to buy. No more arguments at the store because "NO, you can't buy that, it's stupid.", instead it's "sure, if you have the money, let's go over how much you have at the moment...."
As for the allowance amount, it's $5 per week. 40% ($2) is spend, i.e. they can spend it that very same day on anything they want, no questions asked. 30% ($1.50) is save, i.e. they have to wait at least a full day before spending it (oooh, a whole day you say...well to a 6yr old waiting a day is like waiting a month to an adult, which is exactly the point). 20% ($1.00) is invest, something that they're saving up for that's far, far away (in this instance, a car or college). 10% ($0.50) is donate, pretty self-explanatory. Now, I may make suggestions on how he spends his money, but I make it clear that it's only a suggestion. I realize that his priorities are different than mine (surely he thinks some of the things I spend money on are silly), and that if he DOES make a mistake, I'd rather it be early on when the stakes are low.
#2, I explain what we do and why. I expect these conversations to occasionally go over their heads, but I know that they're often ready well before I think they are. I explain that mommy works to make money, and that all the things we have cost money, and that we could have more stuff/bigger house/more vacations, but that'd mean a sacrifice somewhere else (more stuff = less vacation, or bigger house and more stuff = mommy working more, newer car = ok, you get the idea). We value making memories (travel) over stuff. Things like that.
#3, I get his input on things big and small. I do explain to him that mommy and daddy make the final decision, but we want to hear what his thoughts are, and we take them into consideration. After our vacation in December and just before Christmas, I explained why he may not get as many toys for Christmas as some of his classmates, then I asked him if he preferred making memories (which we do on holiday) or a big pile of toys for Christmas. He said he preferred making memories, and pointed out that too many toys would break our house :) Now, a biggie we're starting to wrestle with is that he wants to stay in Australia because that's his home...and I'm getting a bit homesick for the US. We'll see how that one plays out.
I think the biggest thing right now is the allowance. I see kids at the store trying to talk their parents into a $30 doll, or having a meltdown because the parent said NO (and often the parent breaks down and says yes...now THAT's a bad lesson to teach them). Our son is told (sometimes after I make an alternate suggestion) that if he has the money, yes he can buy it. If he doesn't have enough spend money but does have enough save money, he's told that he can buy it, as long as he still wants it the next day. Sometimes he gets a bit upset, but nothing like the tantrums I've seen. I mean yeah, $5/wk sounds high, but that's $260/yr...add in Christmas and birthday spending, we're around $300. I'm sure most "normal" parents spend way more than that on their kids, if they add in every single toy purchase made. Or chocolate bars at the checkout (he bought a chocolate egg once, got very upset that he didn't have any money left for a toy, and so far has not bought another candy item with his allowance).