It's generally more of a strategic move than anything else. It increases your chances of having made a good impression, making you a stronger candidate for the position.
It's not a matter of being considerate... it's a matter of being smart. Why would I genuinely be thankful for them taking the time to see me, unless my resume sucked ass and they were clearly doing me a huge favor? Remember, it's in their best interests, as well, to interview me if I am a good candidate.
Considerate people write thank you notes when they have nothing left to gain (e.g., to professors who took the time to write a LOR or something).