We circled tons of stuff, then the things we really wanted we cut out and put in the "wish box." This was a gift box my mom had cut a slot in the top of, and we could put gift ideas in it all year. I think she came up with it to avoid hearing us say "I want" all the time. It was one of those old fashioned gift boxes - a cube, very sturdy, with a lift off lid that was shiny white. It seemed sooo magical to us.
Once we'd been through the catalogs, we made "dolls" out them: Each page would be folded down from the corner all the way to the middle, until the whole catalog could stand on its own, looking roughly like a dress. Then we'd make faces out of construction paper and glue them to a toothpick and stick it in the spine. Voila! A "doll!" Today's catalogs aren't thick enough to do this....