Use:
L = ['Thanks You', 'Its fine no problem', 'Are you sure']
#create new df
df = pd.DataFrame({'col':L})
print (df)
col
0 Thanks You
1 Its fine no problem
2 Are you sure
df = pd.DataFrame({'oldcol':[1,2,3]})
#add column to existing df
df['col'] = L
print (df)
oldcol col
0 1 Thanks You
1 2 Its fine no problem
2 3 Are you sure
Thank you DYZ:
#default column name 0
df = pd.DataFrame(L)
print (df)
0
0 Thanks You
1 Its fine no problem
2 Are you sure