I actually say "Thanks doc!" over voice about almost every time I get a random heal or a good medic, and I always try to say thanks for anything else anyone does like when an engie came out of nowhere and pistoled a pyro to death when I was running for health. I rarely use the "Thanks!" emote for it, though.
The other emotes I just use to scare/taunt enemies, especially the Heavy's battle cries and such.