Dan here. Hmmm.... I've started answering this post probably 3 times now, and got stuck right at the beginning each time. So let's try again.
On one hand, I don't personally do that, but that could have to do with my view of things, i.e. sex is an equal activity.
But on the other hand, (and I'm not going to go too metaphysical on anyone here), but showing gratitude and appreciation to your partner for the love and sexual gratification they bring you is a very powerful sentiment. and if we were going to go metaphysical, we'd say that by showing this gratitude you would be attracting "more of the same" into your life.
Short answer I guess... I think it's fine either way, but actually saying something is probably better than not saying anything. It doesn't have to be "thank you" - I don't think, it's not the words that matter, and some words will be more awkward than others.
We all show our appreciation and gratitude in our own ways, and there's certainly nothing wrong with saying thank you, or perhaps saying "thank you for being part of my life". It's important I think for those who are special in our lives to know without a doubt that they are special to us.
OK, that was a little contorted, but it's as clear as it's gonna get tonight.
