Yes, I have tried to do this, and it sometimes feels odd to know how to express it, but I think it is important to let a supervisor know if you appreciate their efforts. I know when I worked and supervised people that if once in a blue moon someone said, "I have really learned a lot from your supeversion," or something along those lines, it really felt good. Its nice to get appreciation from someone, and I am sure supervisors like to be appreciated and know that the work that they are doing is helpful!