My experience tells me it's unclear what is the best thing to do. I've heard arguments for both sides. When I applied to medical school, I didn't write thank you notes. Some do, and some don't. I don't think it makes that much of a difference, but as others have stated on SDN, it can hurt you if you write a bad letter.
I was told by my residency director not to write thank you letters for residency applications. However, I wrote to every single person I met during the interviews. I took notes on my Palm and wrote individual letters on my lap top on the plane.
I suggest you write the the thank you note if you want to or feel that it is important to you; otherwise, do not feel obligated because it's not expected.
There have been many discussions on this topic. IMHO, the verdict is neither essential nor phony, but simply polite. Do a search for more opinions than you're likely to want to read! Good luck on your interviews.