Time Out magazine (hard copy or online) has a range of ideas that may be of interest - mainly events in hotels (meet Santa, eat lots of food, Christmas cooking courses, etc.).

If none of that appeals then, as above, I'd suggest you make your own fun with family and friends. Christmas BBQ on a sand dune/picnic on the Corniche or in Aspire Park, 12 hour day in the office - take your pick.