I do so quite often. When the wife and I go out to eat, if the food is really good, I also have the server convey our thanks to the kitchen staff.
When the wife and I were on a cruise last October, we asked to speak to some of the galley staff to personally thank them for what we were eating. We also talked to the hotel manager and told him how great our cabin steward was in taking care of our cabin and handling any requests we had. When we returned home, we received a survey from the cruise line, in this case Royal Caribbean. We praised our cabin steward again as well as our wait staff in the main dining room, each one by name.