There's no 'rule' that says you have to, but we do, because they are some of the lowest paid workers in the country.
We buy something for the centre to share (wine or chocs generally) and also a $20 Myer gift voucher for each staff member that directly cares for my son. So that adds up to $80 in gift vouchers, which is quite a bit.
I guess it depends how long your son has been at the centre, and how many days he goes to, as well as your budget.
And I guess this is why I found it hard to be expected to buy a gift - I think I work in one of the only industries paid lower than childcare (or similar anyway)
I ended up buying each a sweet coffee mug and filling them with candy canes and homemade slice - went down very well fortunately!