The phrase you choose depends on the situation, how big the favour is, and how grateful you are.
If your friend passes you a pencil, you'd say 'Thanks', but if he drives you 100 km, you'd say 'Thank you so much'. It would seem strange to say 'Thank you so much' in the first situation (he'd think you were being sarcastic), and it would seem ungrateful to just say 'Thanks' in the second.
In ascending order of gratitude, your sentences are:
Thanks.
Thank you.
Thank you very much.
Thank you so much.
I hope that helps.