I did explain how much certain things had helped me, usually some time later when I was looking back and noting some progress that had been made. My T tended to say he was glad, and then he'd somehow give the credit to me or to the therapy process itself, but would deflect it from himself personally.

And sometimes I just let him know that I was feeling a lot better after seeing him. I gave him some form of thanks about once a month I'd guess, by email or in person.