I will be grateful if you help me= I will appreciate your help and say thank you.
I will be thankful if you help me= I will be relieved if you help me.
You can be thankful/relieved if something unpleasant has not happened or has ended like in:
"I was thankful that the meeting didn't last long, because I had a train to catch."
That's way "I will be thankful" does not work in your example.