Back on my post of 15 Simple Advent Traditions I listed making a manger or creche for Jesus with your kids to fill with "straw" by doing good deeds. The idea is each day your kids place a piece of straw or crinkled piece of construction paper straw, or yellow yarn into the manger. By the end of Advent, you have a manger full of fluffy hay for baby Jesus to lay in Christmas Eve.
And Baby Jesus. (I found them at the Goodwill with Christmas decor, I found a glow in the dark one Brenden can't quit carrying around and kissing at Sacred Heart Gifts for $.60 and also at Sacred Heart this beautiful one for around $7.) Also try Autom's website- they have little baby Jesus for sale perfect for this project.
Now one to building a creche.