I had never heard of this until a friend that I threw a shower for gave us a gift certificate to a restaurant in the thank you note that she sent. I certainly don't think it's necessary. I mean it was nice, but for some reason it actually felt a little awkward to me because I felt like it indicated that she had to repay me in some way. I know she was just saying 'thanks,' so maybe I'm just weird to feel this

Of course a nice thank you note is always appropriate and I agree with merry-may...if you want to do something else maybe flowers?