We used 3M's poster tabs and hung them on the wall. After having a short lesson on why we give gifts at Christmas we handed the kids washable crayons and let them make their lists.
They can add to it all season long. We have explained that they will not get everything on their lists. Mom and Dad also have veto rights with Santa and relatives too.
To share in the joy of giving I've made a generic version for you to download. We had ours printed at Staples as engineering prints in 18X24 for $1.99 each.