For our first morning, the Elf left a note saying he arrived during the night and is hiding somewhere in the house. He left a clue to say where he was and I put the note, plus a piece of candy from him, in my son's toy mailbox for him to find the next day.
I think it went something like this:
Thanksgiving has passed,
the feast was a treat.
Christmas lights are now on,
holidays can't be beat!
While you were asleep,
I arrived at your house;
tiptoed in silently,
quiet as a mouse.
Said hi to Thomas,
gave Jack a pat,
found someplace comfy
and then took a nap.
You'll find me this morning
hiding someplace up high.
Now go take a peek
with your own two eyes!
This works for us because my son loves to get clues for scavenger hunts and also adores his little mailbox. When the flag is up, he knows something is inside. So, the Elf will leave other notes with more clues to say where he is about once or twice a week. (things like "I'm in someplace new; where am I today? You'll find me near something that starts with an A." - he was with the apples.)