I smiled when I read this. I always used to put myself down after receiving a compliment and that made me feel awkward for some time afterwards. I believe I read something in a very old guide to etiquette which explained how wrong my behaviour was. I soon learned how to repond correctly - in the exact way you describe here.
I consider this a 3 step change. Start by simply saying "thank you" move on to "Thank you, you are very kind" and finally when you have got the hang of it; "Thank you...followed by a return, more constructive compliment" ... just as you have described here.