I think your first version is fine. It's somewhat formal, but if the correspondence calls for it, I don't see why you shouldn't say this.
The second has a logical error. In the first you are thanking the person for forwarding something to you. In the second you are thanking them for helping you to forward something, but as the thing is forwarded to you, this doesn't make sense. It would work if you changed "with" to "in". "Help in forwarding" means that he helped you by forwarding it.