My DD is 9 and we love throwing little fun parties like this.
How about...
* Christmas-themed bingo? (you can make the boards on your computer, and use Christmas-wrapped candies or something like that as markers)
* Who am I? You can think of characters from Christmas stories/movies (religious or not) and write them down on individual slips of paper. A girl pulls a paper out without looking at it, and you pin/tape it to her back. She shows the other girls and they need to each act out or state one clue, and she needs to guess who she is
* pin-the-santa hat on/pin the red nose on... An alternative to pin the tail on the donkey
* crafts - we love making different kinds of ornaments (and usually have a variety of supplies at hand so the more and less-crafty guests can choose what they would like to make)
* t-shirt, picture frame or tote bag decorating
* pinata
* freeze dance to Christmas music (can't have a party w/ DD's friends without freeze dance)
* wrap a treat (toy/candy/whatever) in layers of crepe paper so it forms a ball. Sit in a circle and pass the ball around. When the music stops, that girl upwraps a layer. The girl who unwraps the last layer keeps the treat
As far as the gift exchange goes, I would probably stay away from Secret Santa unless I knew the girls' families well enough to know they would follow through with a purchase. However, I would do a grab bag. You can ask for a book, or for a gift in the $x-$y range; I would have a few extras around "just in case" though. Rather than a pull-a-gift grab bag though, I like where all the wrapped gifts are on the table. Girls pull a number to determine what order they pick in. Number 1 goes first, then 2, 3, etc. Once they all have a wrapped gift and are sitting in a circle, start the music and have them pass the gifts around. Whatever gift you have when the music stops you keep. You can start and stop the music as many times as you want (or need to make sure no one gets their own gift)
Have fun!!
