Small and incorrect, that is.
This isn’t wrong when used as a noun (She sent a bottle of wine as a thank-you) or as an adjective (That thank-you bottle was much appreciated).
It is wrong when you are using the words to thank someone, as I saw in an e-mail recently: Thank-you for your help.
In that instance, Thank you is just a truncated version of I thank you, and no hyphen is necessary (or correct) in that kind of short sentence.
Fear and loathing?
This was the opening to a recent e-mail …