I don't think you should have them prepared the day of the interview...you might want to write them after so you can incorporate parts of your interview into them so they can remember who you are. I personally prefer writing and mailing them as it shows a little more effort than e-mailing. Like
@JLT223 has said, they probably won't be the make or break, but if you're in waitlist hell like me, every little bit of consideration helps.