I say you're welcome and smile when they take my paper. But i wouldn't thank them, no unless they gave me a calculator or something as I'd forgotten mine or I was early and they were handing my a test.
I usually just smile or whisper a thankyou when they put or pick up something from the desk.. Mainly due to habit i guess you can say thanks if you want to
but are you supposed to say thank you to invigilators in exams? i had an AS exam yesterday and the invigilator hovered next to me after giving the exam out until i whispered 'thanks'. i'm not sure if she was just stood there, or if she was actually waiting for me to thank her.