Comma after Thank you in a sentence?

Not necessarily.

I want to thank you for helping me last night. A comma would wrong here.

"Thank you," said Sam. There is a comma here, but it is not because of the Words "thank you." You would write: "I want ice cream," said Sam.

Thank you usually stands by itself or with an appellation. "Thank you, Sam!" In this case, the comma is there to set off the appellation, not because you used the Words thank you. For example, you would write: "Go screw yourself, Sam!" or "Sam, thank you so much."