G.G.
We have been to parties at Fantasy Kingdom and Room 2 Play and both were really cute. I have 2 nieces with December birthdays and they have had Christmas parties complete with Santa Claus. LaCoco's and Pompei Bakery on Taylor St. have private rooms at reasonable prices if you choose to go that route. For activities, my sister-in-law baked cookies and then had a kids table where they could frost and decorate their own cookies. Then, Santa came in and read "The Night Before Christmas" and passed out the goody bags. Each child also got a photo with Santa.
It will be cold outside, but Brookfield Zoo does parties in their restaurants and that would be fun! Best of luck.