In bocca AL lupo = "Good luck (to you) (with that)!"
"Break a leg" is an expression which is generally used to wish luck to someone in a performance (like the theatre). More and more it is used in common speech (in the USA) in a way that is similar to how Italians use "in bocca al lupo". The response to "Good luck!" or "Break a leg" would be "Thanks!" (in English)
As I understand it, in Italian the appropriate response to "in bocca al lupo" is "crepi!" or "crepi il lupo!" (death to the wolf!) - and NOT "grazie".
(help me out here, my Italian friends!)
In America we just say, "Thanks!"