Teaching statement: should I say something about Master's theses supervision? I have a quick question. Is it usual to include a few lines on undergraduate/master theses supervision in a teaching statement? I see it as not really teaching in the traditional meaning of the word, however it is related to students. I have only supervised two Master's students, and put this in my CV; I don't know what hiring committees would like to know about this. 

(By the way, this is for a tenure-track appplication in mathematics.)
Yes, I would certainly mention it, especially when applying to schools where undergraduate research is a focus, or those that have a thesis-based masters program.

The "teaching statement" doesn't have to be limited to classroom teaching; it is reasonable to mention any activities related to educating students.