This is horrible advice. I always send thank you notes. I sent thank you notes to every interviewer I've met at every callback. And they have ALWAYS resulted in offers, and the people have ALWAYS complimented me on the nice notes I send.
And these aren't at the supposed 'small firms'. These were Wilmer Hale, Kirkland and Ellis, Proskauer Rose, Mintz Levin.
Send the notes, its a great idea. Take it from my ACTUAL experiences.
Ok, I too have ACTUAL (the capitalization apparently makes it more actual, or actual-er) experience interviewing at many of those named firms. I too got offers from many of those, or comparable firms. Not ALWAYS (again, lest you doubt the certainty of always, I have capitalized it, so what's up now?), but I got a fair amount of offers. And I never sent thank you notes.
Moreover, I now have actual (lower case is the new hottness) experience interviewing for a firm comparable to those you listed. That's right, I'm now on the other side of the desk with my list of platitudes to feed you, using words/phrases like "collegial" and "quality of both life and work" and "immediate responsibility." I have gotten several thank you notes and not once have I ever remembered who had sent it, and I immediately throw it in the trash. But, the one time I did take the time to figure out who this guy was that had sent a thank you was when it had a silly, glaring error. I hunted the guy's file down and his was the only name I associated with thank you cards at the recruiting teleconference. I don't know yet if he got an offer, but he certainly did not get my vote.