We really don't. The only thing we do is more for the kids than anything. We let them go and pick out a small gift for each of their siblings and they get to open those gifts on Yule.
I know it sounds much like a Christmas celebration, but it really isn't. We are trying to teach our kids about giving to others, to take the time to really think about what someone else wants or needs, and to remember how important their family is. They also get to see the reaction to their hard work when their brother or sister opens their gift.
In a way, this is something of a carry over from when my husband worked for a company that collected toys to donate over the holidays. We would always pick a child around our kids age and have them pick out a toy they would really like for themselves to give. He no longer works there, so we don't have that outlet.
I would like to do more, but since it typically falls during the week, we just have the evening to get anything done. I will usually try to plan a special meal to go along with that, but again, that just depends on the amount of time I have.