The most formal way would be: I consider myself fortunate to have the opportunity to work for your company. [Past tense - if you are leaving] I consider myself fortunate to have had the opportunity to work for your company. "Lucky" is a bit less formal.

I'm lucky to have had the honour of working at your firm. Yes, this sentence is grammatically correct.

Better: It is a pleasure for me to work for your company! I am glad I got a chance to work for your company! It was a pleasure to work for your company (if you're about to leave) I didn't quite get what you mean, but I hope it will help you.

The sentence with lucky is correct. The one with luck is wrong. The way you have written the sentence requires an adjective describing you. Lucky is an adjective, luck is a noun.

''I'm lucky for having the opportunity to work in your business. '' I'm not so sure but it sounds me more clear .. i don't think you can use the word ''firm'' in this sentence