It isn't a question of being grammatically correct or incorrect. It's simply a matter of usage - or in other words - whether native speakers commonly use these phrases or not.

I don't think that any native speaker would normally use 'Thank you a lot'. I have never heard anybody use this. You can say 'Thanks a lot', but as the previous members have said, this can be seen as a sarcastic comment.

Just 'Thanks' or 'Thank you' is fine. 'Thanks very much' or, more formally or for a bigger favour, 'Thank you very much' are common in the UK. 'Thank you so much' is used more in the US.

well i have heard thanks a lot but not thank you a lot; i m not an expert though

and thank you so much is correct

Those expressions may vary depending on the country and region of country. I'm from the Southern area of the USA (Texas).

You wouldn't hear "Thank you a lot" very frequently. And "thank you so much", would generally be used when someone does you a big favor. For instance, the grocery clerk lets you ring up on their register when they were about to close it. Or a friend lets you stay the night at his place.

More common in my area you would hear "Thank you very much" (polite and formal) or "Thank you." (neutral) or a simple informal 
"Thanks / Thanks, Man."

I hope that clarifies that some what, but again, this varies depending on what country and region of a country you find yourself in.