From where I sit, any attempt at etiquette in this lazy "whatever" day and age is greatly noticed and appreciated by those who feel it is important - and it serves as a subtle reminder to those who do not deem things like this to matter much. Please don't take that as a high-horse statement...I just think that as a society, we have really slipped on letting people know we appreciate things about them and it isn't doing any of us any favors. I have always made a point of sending thank you notes - even for small things - and the effort is recognized. I also do this to set an example for my children.
My kids are 5, 7 and 12. My 5 y/o is developmentally delayed and cannot write yet. He had a b-day party in February and I wrote his thank you notes. My 7 year-old now writes her own - I have to stand over my 12 year-old, but he writes his own as well. I have always encouraged my children to do as much as they could. If they could write their name, they would do that. If they wanted to dictate the cards and I did the writing, that worked too.
I generally put the child's name on the return address, but I have both sent and received them both ways and don't really give any thought to it either way. From where I sit, the point is in the effort and the acknowledgement of the gift and participation in the party. I do write the notes from the child's point of view and to giver - even and especially if the giver is a child, regardless of how hold the child is, e.g., "thank you for coming to my party...I am really excited to play with the XYZ" rather than the parent thanking the parents/children.
Finally, I have a good friend who has a rule for her children...if a thank you note does not come with a stamp, it doesn't count - so she makes her children write them and mail them via USPS. It seems a little silly...especially in a neighborhood like ours where my children all have numerous friends who live across the street or down the block...but kids LOVE to get mail and her feeling is that the extra effort shows that you mean it - you aren't just doing it because you feel obligated and it's convenient.
Just my two cents...