Not a grandma but........
Messy art projects are always fun, cutting up magazines and making collages, painting pre stamped wood or ceramic ornaments or decoration items, making a Christmas card for parents or other family member.
Kids love to bake cookies mixing the dough or decorating the sugar cookies or gingerbread people
Take some silly holiday family pictures print them and put them in homemade cards for mom and dad
Rent DVDs and watch holiday movies together with hot chocolate and cookies or pop corn
Kids do love to go on walks collect or take pictures of the odd/ pretty/ or different things you see.
Make a fort in the living room get inside and read stories or tell them stories about when thier mom/dad was young or even your childhood. (the fort is important here kids love forts)