Since that person is correcting you (providing you constructive criticism[?] one way or another presumably) and you want to thank that person by stating particularly the point why you are grateful, you can say:
"Thank you (/I'm grateful) for your correction (/criticism [you may use 'criticism' if the one who corrects you has the notion of constructive criticism]). I learn (so much) from it."
Maulik V is right, there are so many ways.
Also, a plain and simple "Thank you", if sincerely stated, beats everything else. Appreciation should be given in a sincere fashion anyway.