I received a thank you note last week for a wedding present I sent this summer... at the end of June. Still haven't received notes for two other gifts I sent at the same time.
I suppose receiving a note four months later is better than nothing, but only marginally better in my opinion. I really think that if the people who sent you the gifts have cause to wonder whether you received it, you have waited too long to send a thank you. It really doesn't take more than five minutes to write, so within a month is reasonable. Also, if they send the gift before the wedding, consider it a favor-- you can send the note now and not have to worry about it after the wedding!
There are lots of options for thank you note stationary. Minted has so many cute ones... I love this for wedding thank yous-- sweet and simple: