I don't think you can necessarily go wrong with either, beyond being too wordy/rambling/desperate sounding within the communication itself. I would agree with just sending to the PD or your main contact person in setting up the interview in the first place -- if you end up sending something to every individual you interviewed with you risk being wordy/rambling/desperate sounding, or worse yet, now you leave someone out you interviewed with at that same institution and forgot.
For fellowship interviews it may be that you only interviewed with two or three people, depending on the place, so it's somewhat more rational to contact each of them -- but I guess that's up to the individual.
Personally, I returned contact to the program coordinator for the fellowship (person I generally communicated most with) and the fellowship director by phone or email and did not handwrite/snailmail anything. Come to think of it, I think they initiated most of those phone calls -- but my specialty (forensic path) is relatively more competitive for programs seeking qualified applicants than applicants seeking good programs, so I didn't find it surprising that they wanted to keep marketing themselves as much as I wanted to keep marketing myself.