We use the same festive wrapped cardboard box every year (it holds decorations in storage most of the year). DD knows it's me who does this so there are no problems with "losing the magic".
It has DD's stocking and the family copy of "Twas the night before Christmas" for Christmas Eve bedtime reading.
It usually has her winter hot water bottle slipped in as well (she got a small HWB with a snowman cover years ago.
I also take her plastic Santa glass and plate from the kitchen cupboard (probably bought when she was 2 or 3 (she's now about to turn 12), and in use every year for December until the decorations get put away again, as it gets stored with those) - Santa's milk and cookie, and Rudolph's carrot, go onto those.
New things are PJs for us all (as new PJs are handy most winters - they are sometimes festive patterns but often not), a festive Lush bath bomb each for DD and I (and sometimes a nice shower gel for DH), and nice hot choc for us all. Occasionally, a Christmas beer (1 bottle) has found its way in as well for DH.
In our case, it comes out after dinner and after lighting the Christmas candle (and remembering the good and bad of the past year, and taking time to remember people who have died). DD sets out her stocking and Santa's snacks, then has her bath, and in her new pjs, comes back down for hot choc before we snuggle her up, cosy in a warm bed, to read the book and maybe another story and settle down for a "long winter's nap"!
I know others who have craft kits or DVDs as their comes out earlier and is to provide distraction for DCs on 24th while adults get things done. Or to watch the DVD or play a board game together as a family as part of their family celebrations.
We do have a decent collection of Christmas books that come out earlier for reading throughout December, but TTNBC is a special one that is always kept for 24th.
For a very first Christmas, I'd be inclined to maybe get a nice festive sleep suit or outfit for next day (which, tbh, you probably will buy anyway as FTPs - but can start your "tradition"), a Christmas book that you will read a lot next year in December, and if you see a plastic plate/cup/bowl or whatever somewhere, that might be nice to get now for many year's use. And maybe, if you were going to get one anyway, a "Baby's first Christmas" or a very special ornament with the year on it, to hang every year (that doesn't need to set a precedent of getting one every year - but you can always tell her later that it was in the box on that first Christmas).