Many will call it a common courtesy, but I for one, am not sending out thank-you letters. It is certainly not mandatory.
I thanked the admissions staff, interviewers, and students while I was there, and I don't feel it necessary to thank them again. After all, I paid lots of money to interview at their schools, and in quite a logical sense, they should be thanking me (since I'll also be paying tons of $$ to attend one of their schools).
But alas, if you choose to do so, then go for it! I can't see a thank-you letter actually bolstering your application, but it certainly can't hurt either. In either case, the thank-you should be addressed, or sent, to the person(s) whom interviewed you.
It is more than common courtesy. First, a thank-you note is way of showing professional respect when someone has spent their professional time with you. Second, I have friends who do admissions work as volunteers (incl intw) out of sheer enthusiasm for their school and certainly they would highly appreciate a thank-you note. And finally, remember that good karma is always helpful in the long run