Thank you notes, as superficial as they sound do work.
Remember, several programs gets dozens to hundreds of applicants. After maybe 10, the mind starts to put the applicants into the old dreaded pile mentality people learn about when applying to college (they make a pile for people with SATs above 1500, then another pile for 1400s, etc).
The human mind can only hold so much, after a handful of applicants, several of them start to blur into each other. You will stand out if you right a thank you letter.
But as OldPsychedoc mentioned, don't go overboard. Someone who applied to my program last year came off as a major butt kisser and gave a thank you note that was a bit overboard. I think it gave the opposite effect of what he intended.