When we adopted our DDs, DD1 was already 8, and had had the previous 2 Christmases in foster care.
She was in tears a couple of weeks before Christmas... We had been discussing with her what would happen on Christmas Day. We had mentioned she would get her stocking first thing in the morning, and later presents from the family. It transpired that in foster care she had (quite a few) presents from Santa, as well as foster care family etc. Why wasn't Santa going to care enough about her to bring her proper presents this year? (Santa hadn't brought her presents for the first 5 years because they kept moving around so didn't know where she was 
).
We sorted it by explaining that the extra presents in care were to make up for the years of missing presents, and now she had us. We hadn't even realised that in some families Santa brings big presents too (!)
So my warning is that if your new child is old enough to remember previous Christmases, please check in advance what their expectations might be so you can adjust theirs (or yours) accordingly.
And enjoy your first Christmas together! 