When you take the time to say thank you, your reference providers will be even more inclined to recommend you next time around. Everyone likes to feel appreciated. In addition, if you get a LinkedIn recommendation consider following suit and if you can recommend the person, do so. They will appreciate that, as well.
How should you relay your thanks? You can say thank you via email, via a thank you note card, or a letter. Either one is an acceptable way to say thank you. Here's more on thank you letters for references, plus sample thank you notes, email messages, and letters you can use as a starting point for your own correspondence.