The Western polite manners using "please" and "thank you" so frequently is covered in Nepali by the use of polite forms of address. I express my respect for you not by saying "thank you" but by treating you with respect and using the respectful form of you ("tapai")--unless you are notably younger than me in which case too much respect is amusing because I am the one deserving of respect.
I overused "dhanyabad" when I first came to Nepal, especially because it was one of the few Nepali words I had. After more than a year in Kathmandu, I have settled on using "dhanyabad" only in instances where I would say "Thank you so very very much. I really appreciate it." (for example, when a taxi driver came back to where he had dropped me 10 minutes before and returned my mobile phone which I had left in his front seat). If I just ask directions or am leaving after a transaction at a shop, I mostly use a smile and little hand bow with "namaste."Out of habit, sometimes I add, "thank you" in English before "namaste" as I leave. That seems to be received with less amusement than "dhanyabad," though Nepalis at tiny non-tourist shops do often seem pleasantly surprised/amused that a Westerner would even frequent their place of business and/or try to speak any Nepali at all.