I got this email from a friend, who was concerned about the heat problem (which I complained to her weeks ago) in my apartment. Do I thank her for "checking in on me" or "checking on me"?
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"Checking in", it could be argued, has a connotation of the speaker being physically present, as in someone coming to visit or a parent or nurse looking into your room. However, the distinction is small enough to be irrelevant — no one I know would fault you for using it in a letter.
I wouldn't use either, but instead I would say thanks for thinking of me, or give an update and say thanks for asking.