My understanding is that thank you letters are generally not done over here (though this is just my experience and from those I've spoken to).
That said, I have sent them. However, I usually preface them with something like 'I hope you won't mind what I understand to be an American custom, but...'.
In my field, being American is a bit of an asset so I can, to some degree, get away with it. I've also conveniently forgot a tidbit or 2 in the interview that I have followed up the next day with in a letter - and also used that opportunity to thank them.
I've had a least one person tell me it was such a nice thing to get.