That depends on people, but I usually say thanks (감사합니다), when I receive food from the waiter. Some people just say yes (네) or nod politely too. It is also the same in the grocery store. I would say hi (안녕하세요) when entering and thanks, bye (감사합니다, 안녕히 계세요) when leaving the store. It's better to be polite I think :)

Some people say hi and thanks everytime they leave the market. "고맙습니다." "많이 파세요." "또 올게요." "안녕히계세요." - meaning: "Thank you." "I hope you sell more." "I will visit next time." "Good bye." cf) Many Koreans use these phrases and I learned they are not very appropriate. "감사합니다." - This can be too much politeness. "수고하세요." - This means you work hard. Seems a kind of order.