Thank you notes are not necessary. I think it is a nice gesture, however, it wont make a difference in your application process. I usually went around the table after the interview and shook hands with each interviewer and thanked them for taking the time to interview me. Courtesy is a good thing, but if you really do well in your interview, you wont need a thank you letter.
I actually had my interviewers at two of the schools I applied thank me for taking time to interview at their respective school. I think they realize that you are taking your time to interview their as well, and they tend to appreciate that most of the time.
If it would make you feel better to send a "thank you", I would probably send a small thank you card, you know, the kind you can buy in a box set. It is small and they wont feel bombarded with more paper. This is just my humble opinion though. Good luck to you.
Aaron