I once felt compelled to sit my then-11 year old son down and tell him the truth about Santa Claus (and our truth is the same as yours, regarding St. Nicholas and Christ).
I have regretted it ever since.
VillageMama, I did the exact same thing, but my son was younger (I think 8 or 9) and it was Easter. Although I do have some regrets about doing it (he cried, and of course asked about Santa) I was also relieved to have done it. The older he got, the more the whole thing felt like "lying" and not just a fun fantasy anymore. It just started to feel wrong.
Of course, after the experience with my older one, I said I would not do it with the younger one until he was older. Well, a boy in his class did the job for me last year (at age 9) and I was actually relieved! It was a little tough having the actual conversation, though, because after the boy at school told my son, my son asked me to tell him the truth, and I hemmed and hawwed and said I wasn't ready to discuss it, but finally he asked so forcefully that I told him. Of course, he then wanted to know why we "lied" to him all of those years!
I don't know, this is such a tough one. I really did start to feel, as my kids got older, that it was becoming more like a lie than a fun fantasy. I just wasn't comfortable with it anymore. I probably should have waited longer to tell the older one, but in the end I think it worked out OK. I'm going to ask him when he is older how he felt when I told him (although maybe I don't really want to know!!) OP, good luck with this, it is so hard, and each child is different.