I know other SE sites actively discourage this, how is it for Econ SE? I frequently have to suppress the urge to write another thank you comment
Per rules in our help center this is not an appropriate use of comments. As our help center states:
When shouldn't I comment?
Compliments which do not add new information ("+1, great answer!"); instead, upvote it and pay it forward;
See also this Meta thread for more info on the subject.
This being said, if you feel strong urge to thank someone in comments and you do so you will not get into any serious problems from us moderators, unless it is somehow disruptive (e.g. long never-ending thank you messages), then the worst thing that could happen is that the comment will get deleted if someone flags it.