It's grammatical right but very unnatural. A natural thing is "당신에게 감사합니다." But when two people talk to each other it's unnatural too. When two people talk to each other, sometimes we do not use "당신" Sometimes we don't use subject so "I'm thankful for you" is "당신에게 감사합니다." but we use just "감사합니다." or "감사해요" or "고마워요" "What are you doing"'s grammatical translation is "당신은 무엇을 하고 있습니까?" but we say that like "뭐하고 계세요?" or "뭐하고 있어요?" or "뭐해요?" or "뭐해?" or "뭐하냐?" and 무엇 is 뭐's formal word When we write, we use 무엇 When we talk, we use 뭐 Are these my sentences OK and natural???

You can say like 당신에게 감사드립니다. For example, Im thankful for god It goes like 신께(or 에게 both are accpetable) 감사드립니다.