Purchase some resume paper, or at least something a little fancier than standard printer paper. You want the letter to look as important as possible. After all, a letter from Santa is a big deal.
Hand-write the message onto the paper using a nice pen. Some pens do not have a great ink flow so you may want to go with a rolling ball ink pen or a fountain pen. It's hard to picture Santa in front of a computer and typing letters, and pencils just seem so elementary-school related, thus the reason for going with a pen.
Mention parts of their letter in your return letter. This way your children will know Santa read their letter. Also, make sure to tell them they were good children this year. All children like to hear how good they were.
Address the envelope to the child. Most children never receive mail, so this can be very exciting. Also, mark the return address from Santa Claus and create an address in the North Pole (maybe 1225 Reindeer Lane or something similar). And of course no letter would be complete without a stamp. If possible place a Christmas-themed stamp onto the envelope.
Fold the letter and insert it into the envelope. Seal it up and place it in your mailbox. You may want to have your child fetch the mail for you that day. Just imagine their excitement when they see a letter from Santa Claus is in the mail stack, and it's for them!