you can if you feel like you want to. they chose YOU out of all the other people, so i tend to say thank you. it's just kinda polite i guess. if there was no other answers, or no decent answers, and they didn't give any reply/feedback then i usually won't even say thank you haha. but i always say thank you in any other MHO situation.
I do say thank you because I know it's a tough choice to pick the most helpful. And I appreciate the time and effort of somebody actually selecting my advice comment in the first place. I don't expect people to do what I do or say what I say. That is what makes all of us unique individuals. But it is up to you if you want to say it or not.