So Jen did some research before we opened our first gift yesterday:

From TheKnot.com

Q. Is it appropiate to open wedding gifts sent to me before the wedding? If so, do I send a thank you note right away or mail it after the wedding?

A. You should open gifts as they arrive and try to send thank-you notes within two weeks. Basically, you should try to send the notes as soon as possible; not only is it polite, but it lets guests know that you received their gifts. For presents received on your wedding day or after, you have a month from the time you return from your honeymoon to send thank-yous.