I'm still Anglican, so I probably should keep quiet, but then that would run counter to my personality.
At any rate, we have 4 children ranging in ages from just under 2 to 11, and we've never done the Santa Claus thing. They know of the myth and what its about, but we had two issues with it. The first is maybe reflecting our protestant backgrounds a bit, but it seems to me that Christmas is about grace, and the coal in the stocking vs. gifts seems to obscure that message a bit. The bigger issue is the "lying" to your kids thing. Its one thing to pretend a bit and relate fairy tales and things of that nature, or to use animals and objects as symbols of other things. However, Santa Claus is frankly taken way beyond that. Parents go to great pains to make it appear as if he is real, and woe to the child who lets a younger one know that Santa isn't real. I remember one Easter when our rector stated from the pulpit that the Easter Bunny wasn't real with a bunch of kids in the congregation. I thought a couple of parents were going to kill him on the spot. Then, some day, the child will realize that his parents were making it up. Honestly, what is the reaction when you try to convince him that the resurrection is real, that God is real? I'm generally in a minority on this view, but its mine and I'm fond of it.
We, instead, do St. Nicholas day on December 6.