A great way to help children reflect on the Christmas story is to have them decorate their own candles with beeswax. Decorating candles is a beloved activity in Germany. I first became aware of it three years ago when a Godly Play colleague was making a candle for her godson's baptism. It is a pleasurable, tactile experience as well to mold and shape the beeswax between the fingers and smell its fragrance.
You will need a wide candle for this activity so that the "canvas" is big enough for small hands to work on. The height is not so important, but the wider, the better.
In Germany, Stockmar sells what is called "Verzierwachs", which are thin sheets of beeswax for decorating candles. It is like modeling wax, but much thinner. If you can't find this, modeling wax like this here will work, but you may need to warm it a little at first so that small hands are not frustrated by the hardness of it.
It is important to tell the children to begin by kneading very small pieces of wax. The tendency of the children is to take a large piece, but larger pieces do not adhere to the candle as well. We actually cut the long strips of wax into smaller pieces before giving it to the children at Advent Club.
I made this simple candle to use as an example at Advent Club. I purposely made it very simplistic, because I find that when I do more elaborate things, the kids simply copy my work. If you are doing this with a group, it may help to ask them some "Wondering" questions, like "I wonder, what your favorite part of the Christmas story is?" or "I wonder, what part is the most important?" You are sure to be surprised by some of the answers you get to what the children put on their candles!
Here is some of the children's work from Advent Club: