We started him "writing" his own thank you notes at the age of three. He would draw a scribble across the card, or whatever he felt like, and I'll fill in the "thank you" part. Now that he's older, writing words still isn't quite on his skill list, but drawing pictures is. For each gift, he'll draw a picture - sometimes of the gift, sometimes just a picture and write his name. If he can, I'll spell out the recipient's name for him to copy as well. He is always so proud of his cards and loves to send them. We discuss why we say thank you and how we show our appreciation to others while he works on the notes. He usually has an array of markers and stickers to use as well.
I know the "rules" of Thank You's is to send them three days after receipt of the gift, but I am betting it's okay to extend those rules when little ones are involved. We're now two weeks past, and still writing notes, just a few a day. So, if you haven't gotten yours yet, dont' worry - you will!! I hope that teaching him early to be thoughtful to these types of things will sink in and he'll continue to write as he becomes an adult. I've seen the generosity grow in his heart over the years, and it's a good feeling to have as a parent. I think the lesson runs so much deeper when you teach them that there is more to being thankful than just saying the words "Thank You."