Write a simple note saying, "Thank you for the gift. It was lovely. " and something nice about the present, for example if it looks pretty on her, or she loves to play with it.
Tell them Thank you for the gift they sent for your daughter and that you really loved it. Say that you really appreciated that they thought of your daughter and sent her a gift.
Express your gratitude to your parents by addressing them as you normally would. Mention the gift in the note, and tell your parents how much your daughter likes it.