Great question. The best way to put it is that it definitely will never hurt. So I would send one, but don't feel bad or at a disadvantage if you don't remember. For a smaller program or one with a more personalized interview, a letter would be great. For larger programs, or if you want to be prompt, even a thank you e-mail to admissions would be sufficient. Just keep it brief (maybe 3-4 sentences) thanking them for the opportunity and perhaps mentioning something you learned or liked (to make it personal) like the poster above suggested. I sent thank you emails to a few of the programs I interviewed at. Good luck to you.
Edit: I just re-read the OP. If you meant to the program, my answer remains the same. If your question was about sending letters to the specific faculty member who interviewed you, I would say there is no need. Just send the letter or email to the department.