oooh I used to work at a day care and LOVED Xmas projects!
For the cookies no you don't need to have icing for all.. YOU ice the cookies let them decorate wtih sprinkles, candies (m n m's, gummies) etc... that's great fun.
Another cute craft is getting puff balls (not sure what they're called) and glue them 3 together like a snow man. Googly eyes and hats etc to glue on.. and you can get magnet strips for the back. We did caterpillars like this once.. VERY cute and it's a nice useable take-home or gift
Cutting snowflakes from tissue paper is fun too then they can hang them in the window.. you know.. fold fold fold snip.. or 2 pieces of black paper folded, designs clipped then unfold, put a colored tissue paper between and paste the 2 together.. this makes a pretty stained glass window.
I always loved the pine cone Xmas tree someone suggested
If you have a poloroid you can have them make simple round ornaments decorated with glitter, punch hole in the top and threat yarn.. on the center take each child's photo in front of a tree or something and paste it on. Those are nice.
Xmas cards are always basic and fun too and children always have fun with glitter, beads, cotton, paint etc. It gets messy but kids love it.
I have tons of ideas if you'd like more