"Thus" and "therefore" you would only use in an essay or an intellectual debate whereas "so" you would use in an everyday context but would be too informal for an essay. "So" can of course be used in other contexts.
"Therefore" and "so" can normally be interchanged, for example:
"The student didn't understand the use of the word, therefore/so they asked a question" - you could not use "thus" here. If you think of "thus" as meaning "in this way" you will probably use in right, for example:
"The student compared the different answers and thus/in this way came to understand how to use the word."