Last year I began what will be a yearly tradition in our household: a birthday cake for Jesus.
At the time, my daughter was three, and I wanted to help her thoroughly understand what Christmas was about. She was at an age where she finally understood birthdays and she was thrilled to participate in making a cake for Jesus. We made a simple gingerbread cake. (Actually, I had a newborn at the time, so I purchased a store bought gingerbread cake mix. Hey, whatever works!) We didn't decorate it, but on Christmas Day, we placed a single candle on it and sang "Happy Birthday" to Jesus.
Although my daughter wanted to give a piece of the cake to Jesus, I simply explained that Jesus is in heaven, and nobody needs to eat food anymore in heaven.
Maybe your birthday cake for Jesus will be a traditional American concoction (purchased at the grocery store), or perhaps a yule log, or even a pumpkin cheesecake. All that really matters is that it will help your young children remember what we celebrate on Christmas: Jesus' birthday.