Do you feel that thank you notes should be mailed or am I just being picky?"
In my opinion, you've received a pretty good thank you note from this co-worker in light of current trends. Too often I hear from readers who are upset because they haven't received a thank you note for a gift at all, or their note is merely a form letter. In other circles, the formality of a thank you note has virtually disappeared with the frequent use of email thank you's. So, could your note be more proper and formal if it had been mailed with a stamp? Yes. But I would feel pretty satisfied that the note was handwritten and timely, and merely chalk up the delivery method to the current trends toward informality, like it or not.