Here is the thank you note etiquette that I found...

If a gift is recieved for your shower you should send out thank you notes within 10-14 days

If a gift is recieved before the wedding you should send out thank you notes within 2 weeks

If a gift is recieved at the reception you should send out thank you notes 2 weeks to 1 month after returning from your honeymoon.

Hope this helps!!!