We've used some cards like this for the little ones:
http://www.myexpression.com/Kids-Thank-You-Cards.htm
I grew up always writing thank you notes and my kids do now. Doesn't matter if they thank the giver in person, we still write for all gifts (unless is closest relatives who we see all the time - grandmother who stays with us over Christmas, other set of grands we see multiple times a week - then it's every once in a while for bigger gifts).
We have received thank you notes for some of the birthday parties we have been to but not all. The only time I worry is when I've sent a gift and get no response at all - I don't feel like I'm owed a thank-you note and it doesn't really bother me not to get them - I just worry that the gift didn't arrive.
For youngest I just wrote a really short note or used templates like the above - the nice thing about the templates is that as DD has gotten older, she can use them to reinforce the habit without too much frustration.