Angela Ryan wrote:

I am glad my Gizmo isn't the only cat that does this....she has always done
it... I thought it was a neurotic thing....

Does anyone know why they do it?

Contentment, of course! Kittens knead the mother to obtain milk, which
provides them with a feeling of well-being and contentment. So in later
life, they associate that contented feeling with the physical action,
and when they're feeling happy and content, they "knead". (They aren't
so different from humans in associating activities with expressions of
feelings.)