I dont feel its lying to them in a bad term. Its giving them an imagination and like others have said, the magic of Christmas. I was talking to a friend about this the other day. Its like telling kids those big dressed up characters (like Dora etc) are just people in suits and not letting them enjoy the fantasy.. its what being a kid is all about.
So no i dont feel guilty.. im actually myself sad for those kids that dont get to experience it.