I think giving good feedback- both positive and negative, helps our T's of course, and ultimately helps. US even more. We get the practice of learning how to share what works for us, stating what we like, what we don't and have the experience of people changing their behaviour. It's fine to say thank you when it's warranted, it adds to the relationship. Doing this in session is probably best for the relational aspect. I don't think an email would be wrong, but you may not get all the benefits of an in session conversation and thank you.