I can't claim to have a fail-safe, sceptic-proof Christmas story, but this is the deal in our house (5 y.o DD, 4 & 3 y.o DS1 & DS2):
Father Christmas is really really busy checking out who is behaving well, and who is behaving badly. Subject to their continued good behaviour, FC will bring them lovely surprises for their stockings. FC is also responsible for the presents that their father & I have bought for them and put under the tree.
Other presents have labels on them saying 'To DD from Granny & Grandpa' etc. and they thank the relative concerned. If the relative concerned has witnessed first hand their sparkling eyes and enthralled expressions, a verbal thank you will suffice. If not, thank you notes are written and signed in triplicate.
They understand that FC does not deliver to grown-ups because he is flat out delivering to all the world's children. Therefore, grown-ups buy presents for each other.
The obvious flaw in this explanation is that we, their parents, look like the biggest chisellers going because we (apparently) haven't bought them a present. However, to date, they have been so busy falling on the gifts with thinly veiled avarice that they haven't noticed.
We did have a sticky moment last month when we were filling shoeboxes for 'the poor children' and the inevitable question was raised about why FC doesn't give these children anything. I resorted to saying that because a lot of these children have lost their homes in terrible circumstances like earthquakes, FC has nowhere to deliver to. No, I'm not satisfied with this explanation either, but for this year at least, it bridged a gap between my desire for them to 'believe', and my desire for them to understand that there are children less fortunate than themselves.
I fear the Father Christmas lie will be ever-evolving in order to suit my purposes.