According to prevalent formal writing style rules,
Should the phrase be in quotes (as in "thank you" or thank you)?
Should T of Thank be capital?
Should there be a hyphen?
They did not give him a polite "thank you."
or,
They did not give him a polite Thank-you.
or,
They did not give him a polite "Thank you."
or,
They did not give him a polite thank-you.
etc.