I don't think it's necessary wrong for them to believe in Santa Claus just as long as you don't tell them that Santa exists when they ask you about it.
i am glad i believed in santa clause... even though he never recognized rudolf until that red nose provided value. To me it is the fun of innocence until you are served a stiff dose of ugly reality.
it's a part of childhood to believe in make believe characters and to use their imagination...makes things fun!