To my mind he comes down the chimney but have seen references to special keys presumably so he can let himself in the front door.
We've always gone with the chimney despite having a gas fire (as my parents did, I never questioned it!). Ds1 is nearly 6 and does tend to want logical explanations, he questioned us a couple of years ago about it. Maybe he'd be more satisfied with a key if that is what the general consensus is nowadays. Or we can blag it with "it's magic, don't question the magic, son".