We did this last year. It took a small amount of organisation but was so much fun. Our elf brought the children something nice each day (cheap craft activities/xmas films/chocs or set them an activity ie writing out xmas cards), but it's the naughty things he got up to that are best remembered and ensured my eldest (almost 8 last xmas) believed in the whole thing, after all no adult in their right mind would do some of the things our Elf did 
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Eggnog arrived on the 1st, bringing advent callendars in a sack with his passport and book (to record things he got up to, and for the children to write messages to him), he decorated the children's rooms while we were out one day (Tesco were selling very cheap xmas lights), he redecorated the tree with knickers and pants (new ones fr dcs, they've never been received so excitedly in the past), he had a snowball fight (choc snowballs) with dcs cuddly toys (dcs are not usually allowed food in living room so rule broken), he hid all around the house and woke in bed with various members of the family, stuck xmas stickers around the tv and so on.
His final act of goodness was bringing the children new pjs on xmas eve, his final act of naughtiness was wrapping papering over the living room doorway before heading off with Father Christmas. It meant none of the children could sneak a peek at the presents before the rest of us were up 
and dcs loved breaking through the paper so I think that will be repeated this year. Oh and rainbow drops make good elf 'poo' if it hasn't discovered where the toilet is. 
We used a cuddly Elf and when the dcs saw Santa he'd been briefed so could ask after his elf. This year I have a matching girl Elf who will be arriving at some point, and a reindeer (from Lakeland sale) for the grand arrival on December 1st.