I'm not a native speaker, but here's how I see the difference between the two prepositions. In the first sentence, your thanks are directed to him and you basically want to thank him for what he's done for you. In the second, you don't want to thank him but rather he's the reason you are grateful/thankful for.
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ljswave#1. I am grateful to him.#2. I am grateful for him.You may think of 'grateful' like this: grateful to someone for something/someone. You may omit the to-phrase or the for-phrase.