Yes, we send them for all gifts and when somebody goes out of their way to do something really thoughtful. On the rare occassion that we stay at someone's house for a couple days while on vacation (in-law's, etc...) they get a nice hand- written note later. When someone pet sits for us, they get a hand-written note. When my kids have a birthday party, everyone get's a thank you card a few days later. We send/give thank you's most of the time. I was raised to do this, and I feel it is a nice gesture and a way to show our appreciation, so it doesn't bother me at all, and my kids and I will continue to do so. Hopefully, when my kids are all out of the house they will keep with the tradition. It's really not a bother or inconvenience for us at all. It's what we choose to do, and we feel good about it.
Just wanted to add: we do this for immediate family, too.