Yes, that sentence is just fine, at least grammatically. You can also say these:
I'd be grateful for some advice from a more experienced person.
I'd be grateful for advice from a more experienced person.
I'd be grateful for a bit of advice from a more experienced person.
I'd be grateful for a little advice from a more experienced person.
Advice by itself is an uncountable noun, so what you have in your title is wrong: you can't say an advice. As you have it in your actual post, you need to say a [something] of advice or a little advice if you use the indefinite article.
All that said, none of these are a way of thanking someone for advice already given, they are a way of asking for advice. So, if you want to say thank you for some advice already given, you need to say that you are grateful, not that you would be grateful. Also, you would say that you are grateful for some specific piece or pieces of advice. Something like this:
I'm grateful for the advice I've been given by the people on this forum.
Finally, I'd like to say thank you more formally way on the Internet forum is wrong. It needs to be either of these:
I'd like to say thank you more formally on the internet forum.
I'd like to say thank you in a more formal way on the internet forum.
Formally is the adverb form of formal. In the first sentence, formally modifies the verb say. In the second sentence, formal modifies the noun way.