When my daughter was young, we read about how Santa came to be. It was fiction of course, but it told the story of a young boy growing up who wanted to make Christmas a little happier for children who had very little. I think that story helped temper the general idea that Santa is just a wealth of free loot.
My daughter understood by age 4 that Santa was a make-believe mythical figure -- not real. It was OK and fun to think about him visiting and bringing lots of presents to children everywhere, but in fact he doesn't exist and lots of children all over the world receive no gifts at all and often are hungry. She understood that all presents came from someone, usually Mommy and Daddy, and that she was a very lucky little girl, because unlike many children, she had a beautiful Christmas tree, fun Christmas programs to attend, good food, and presents.
With so many needy people due to our horrible economy and so many people still jobless and for a very long time, this is a great year to teach children it's more generous to give than receive. If you are one of the lucky people who has a job and will have a Christmas this year, check with Friends of the Family or The Salvation Army, etc., and see if they can point you towards a family, or an elderly person, who could use a little help this Christmas.