I believe you should only say thank you if you a guy, mainly cause men Should a man say "thanks" to a woman after sex? Since they're working hard to please you, I think it's good manners to say thank you in some way.
For some couples, a sexual favour is a thank you. The action is the word, so to speak. In this vein, saying thank-you to a thank-you does seem.
Should you really say thanks to the guy who floats your boat? Related Itemssex among adultssexual behaviorsexual etiquetteshould you say.