At the end of the training session, we say "Arigato gozaimashita" (pronounced adigato gosai-mash-ta) to express our gratitude for the shared experience.
Arigato means "thank you" and gozaimashita indicates the perfect tense. It is used after the event for which one is expressing gratitude has ended – in this case, the completed class.
You will also often hear "domo arigato gozaimashita". "Domo" itself can mean "thank you", so the combination intensifies the thanks, as in "thank you very much".