Do you appreciate what they did? Do you want them to know that?
A personal thanks, next time you pass their office/desk or see them getting a coffee is always more effective than an email, especially for the kind of person you're describing. It lets them know that your appreciation goes beyond five seconds after you received the item you requested.
If, on the other hand, it wasn't anything that important (which I usually judge by "am I going to remember next time I see them?") and you're just mailing to be polite then I've never seen anything bad happen as a result of a quick "thanks" email.
However, if you don't respond then, at the very least, you've left a busy person not knowing whether you've received something they intended you to. That's way more time consuming than passing over your acknowledgement.
At worst, they want you to appreciate what they've done and you haven't shown that. Then you've caused offence, which never ends well for you.
So yeah, just send it, unless you want to go further and add a personal touch.