Both the story and the song of "Rudolph The Red Nosed Reindeer" are ingrained in our Christmas holiday narrative. This seemingly innocent and harmless Christmas song, under closer examination, is neither innocent nor harmless. In fact, it contains an insidious message that legitimizes cruelty and stigmatizes diversity.
Let them be incredibly excited about Santa. As the parents, do good that they can see: read them books about the first Christmas, help your friends, and donate your time or toys to the poor. Don't worry so much about the littlest ones in your house "turning out ok." As they grow, they'll see the good you do at the holidays; they'll recognize that you give so much more (all year) than you receive, and they'll pick up on it, I promise.
Whatever you do, find someone to help and love this Christmas. Many families are doing without, and many children need our help to have a Merry Christmas. If you don't have anyone to give a gift to, look up local charities in your area and make a kid's Christmas by giving to the charity of your choice.