After I've defended my masters thesis, if I haven't published it anywhere, should I list it in the preprints section on my CV?
This question addresses how to list a thesis on your CV, but generally is speaking about dissertations that have already been completed. The basic conclusion is to list theses in their own separate section.
For your situation, with a nearly complete dissertation, it would be appropriate to list it the same way, but for its date list the future date when it is anticipated to be finalized. This would look something like:
Master's Dissertation: thesis title, September 2016 (anticipated).