Many times, these can mean the same thing but it depends on the sentence. "Then" can mean that something happened next or after the first part. It is common to see it used with a sentence that starts with "if" or when describing things in the order that they happened. "So" can mean "because of the first part". If you make a mistake, then it will not sound natural. So be careful. :) Let me know if you have any more questions.