My kids aren't old enough to be involved in birthday parties yet, so I have no idea what the current "custom" on thank you notes is. According to traditional etiquette practice, a personal, verbal "thank you" is required to be given from the recipient to the gift-giver at the event. Written, follow-up thank you notes are not required in this case. But from the other posters, it sounds like people are sending written thanks anyway. When in Rome...!
The part of the note on the goody bag I find objectionable is the presumption that every attendee has brought a gift for your child to the party. I'm sure you would not turn away a child from attending the party if she did not bring a gift. But putting that note of thanks for the "thoughtful gift" continues to reinforce the necessity of a gift for attendance.
Finally, doesn't the goody bag itself serve as a "thank you" to the attendee for coming to the party? If you want to issue thanks for gifts, I vote for a hand-written thank you note sent after the fact.