You should really have a thank you note system in place as early on as possible. We combined it with our guest list, making a spreadsheet that had everyone's names, addresses and response along with columns for "gift" and "TY sent". D and I have it as a shared Google document, so either of us can access it from anywhere. We made our thank you notes as soon as we set up our registries (D printed them on the gocco and I love them).
As gifts came in, we never separated a gift from the gift card/invoice until the thank you note was written. The pile of boxes cluttering up our apartment really provided an extra push.
As we opened gifts, we noted them in the gift column and then checked off the TY column only after the note was written, addressed and stamped. I also stapled the gift note to the invoice and then noted the date the thank you was sent in the upper right hand corner. Then I filed all the invoices together.
It was a little obsessive, but I feel fairly confident that we didn't miss any thank you notes. Except for one be-ribboned bundle of spatulas that must have gotten separated from its card at the wedding. That still haunts me.
If you need a little tutorial on writing your notes, Mouse has a great one. I do differ a little in that I don't mind saying "thank you" directly but I whole-heartedly agree about referencing the gift in a personal way and she provides some excellent templates.
I love that the timing worked out so that this post will take us on into Thanksgiving week. It's my favorite holiday, we announced our engagement over the meal last year, and this year we're hosting for the first time. I'll probably be posting about prep next week. I take it seriously.