To me, they seem to have almost identicial meaning, but I believe there's a difference in usage. Could you please decribe the difference with specific examples?
"Thanks" is a more casual way to say "thank you".
You say "thanks anyway" when you've asked someone for help, but they are unable to help you.
You say "thanks, though" when you refuse someone offering to help you because you don't need help.
These two may be used interchangeably, though. From the context, the meaning would be understood, anyway.