Umm. No.
I have never heard of thank you cards for Christmas.
And a little confession I still haven't sent thank you cards for my baby shower for the twins. Shame on me I know, but oh well.
I have never given a gift for a birthday/shower/wedding and expected a thank you card or ever said "oh so and so never sent me a thank you card how rude." I know people (most people anyways) are thankful when I give them a gift. I don't need a card.
I think that was a UO and FFFC all in one :)
ETA: Thanking them upon opening a gift or calling them if they aren't there is plenty good in my book.