There's no strictly right or wrong answer to this (and the other Christmas questions).
I would agree with some of the earlier posters - don't lie if they ask, but have fun with the santa thing. We bring our guys to see a Santa if he's at a Christmas party. At home though, we put all the presents under the tree a week before Christmas and open them on Christmas morning - everyone knows where the presents come from.
Have fun with it. Don't put yourself under pressure. Make your own traditions for your kids to follow. One of the great things about leaving the jws is you start with a clean slate. See what other people and cultures do, and keep the bits you like.