My MIL bought my hubby and me these cute snowman ornaments and had them personalized with our names, so for my older dd's first Christmas, we got her one that was very similar that said baby's first christmas and her name and the year. We got this baby one this year. We also have a photo ornament craft every year for grandparents, aunts, uncles, etc.. I have a photo of both girls in them. I also took some similar pictures to the ones I took of my dd her first Christmas... in a Santa hat and diaper, in this silly little santa outfit that looks more like an elf. It fit my older dd who was a big 6 month old and is huge on my little one who is an average size 3 months (today) old, but it's tradition. Other than that, we aren't doing anything.
For my older dd's first Christmas, we gave photo albums to the grandparents with all of the photos from out photo shoots and we did that again. Other than that, I don't know what to do. Handprints or foot print things would have been cute.