I wouldn't equate purchasing a game with sending a thank you letter/email/whatever. You're certainly supporting the developer/publisher, and I'm sure it's much appreciated, but in return you're getting a product you'll hopefully derive much enjoyment from. You're making a trade. Taking the time to send a message of appreciation, to go out of your way to directly tell a developer what you thought about their game and how it affected you, is a different act, and one I would imagine isn't done nearly enough in comparison to all the trolling and useless negativity swirling about out there.
I don't think I've ever done it myself. I've sent emails with feedback, I've posted on forums showing love for a game, but I don't think I've ever made a conscious effort to personally show my appreciation for a developer's work. I'll begin doing that.