After a good first date/time hanging out with someone, do you let them know you had fun?

We went out late last night, had been talking (met through an online dating site) all day and met up for a drink and a walk around midnight. We had a lot in common and had a nice time. Nothing mind blowing but it was fun. We didn’t exchange numbers. I think we will hang out again.

Do I send him a quick little message today to tell him I had a good time and would like to see him again? Or do I give it a few days? Wait for him to contact me? What’s the protocol?