Yes, we do and pretty much do the same as we had as kids.
DH made their stocking from felt - so very little give which means you can't fit too much in. Which is no bad thing (IMO) but some things are piled up underneath, like books.
Father Christmas brings the stocking which, in our case, is hung on the mantelpiece but DH and I grew up with it being placed ay the end of our beds. No1 child was a shit sleeper so we didn't even entertain that idea!
We don't wrap them, our parents did.
Type of fillers for your kids ages...
bubbles, pants, socks, chocolate, toothbrush, hairbands, small book, small puzzle, pens, rubbers, marbles, torch