We have had our elf - Errol - visit us the last couple of years, and it's great fun. I see no reason you couldn't start any time - when our elf arrives he brings a letter from Father Christmas explaining why he is here, so you could explain it that way. Personally, I find the idea of the elf spying and reporting back to FC a bit creepy, so we say Errol has been a bit mischievous and has come so the children can show him how to behave.
He arrives on 1st december, and hangs and fills the stocking advent garland I crocheted. Then each night he gets up to something - hiding somewhere (like in the christmas tree, on the curtain pole); christmas themed crafts (making paper snowflakes, paper chains, colouring pages printed from the internet - he starts the project and leaves supplies for the children to do it, too); playing with the other toys (riding in a car / on a train, forming a band with the teddies, cooking in the play kitchen); or getting up to mischief (cotton wool ball snowball fights, stealing biscuits from the jar, hanging underwear on the christmas tree). Occasionally he brings a little present, like a christmas book or DVD. This year I really want to have him borrow the camera and put a memory card full of 'selfies' on the digital photo frame.
I got our elf from the local garden centre - he was really meant as a decoration, so after the first year he was a bit tatty, so I crocheted a new one, but I couldn't get his head right, and couldn't bring myself to get rid of the original, so he came again the next year. Would recommend getting one that's intended as a toy if you want to do it every year. Thinking about seeing if I can get the Gund one this year, you need to get it early, though, as it sells out fast.
We don't really follow the original traditions, but do it our way, to suit our family. The most important thing is to have fun, and Hayden absolutely loves it, and hopefully Zoe will, too, this year. The main problem comes when it's time for Errol to leave - we sit him by the fire on Christmas eve, with FC's mince pie etc, and both year's Hayden has been upset that he's leaving. The first year, when we explained what would happen, he grabbed the elf, and ran off shouting 'No! My Errol!'
Highly recommend it, have fun x
