Can you take something with Willbreaker using Throwing Knife (on an attacking creature) WITHOUT sacrificing the knife? This is an argument on MTGS.

Yes
On MTGO it will ask you to choose a target for the ability when it triggers. Then when it resolves it will ask you "do you want to use this ability?" (because it's a may ability) you click no and voila, don't lose the knife.

Yes. Triggered abilities don't have any notion of an upfront cost, and targets are always chosen as soon as you put something on the stack. The creature attacks, the ability triggers, you choose a target, then Willbreaker triggers. You don't choose whether or not to sacrifice the knife until the ability is resolving, at which point you already control the creature and are free to say no.