I use the jumpseat a lot, and I ALWAYS go up to the cockpit and say thanks. Even if I end up getting a J-class seat in the cabin, the thanks is for offering the insurance policy that I'd get on if it was full.
The only exception to this was the time I was given J1 by a ******** captain that awarded me J1 and then when I checked in 1:20 before departure, I found out that he had pulled me off and given it to someone else. I lucked out and got the last seat in the cabin, but I wasn't going to say thanks for anything with that slick move.