We've been opening them as we get them. (I was away for a few, so DF had to wait for me to get back.) But I'm going to wait until after the wedding to send out all the thank-yous. I don't know the proper etiquette either, but I figure that this way I can say, "thank you for the gift" as well as something like, "it was great to see you at the wedding" or "thank you for coming to the wedding", too, if I want to make the note a little longer.
We're not using any of the gifts or putting them away until after the wedding, though. I'm just stacking them up in a pile in one of our spare bedrooms.