Maybe work it in after "Little Drummer Boy," "Do You Hear What I Hear" or any similar downtempo, non-novelty Christmas song you may have on your playist and make sure it runs at the end of the set so you don't have to worry about what to come out of that song with. That might be an even worse problem than leading into it, because you don't want two slow songs to kick off the set.
Yeah, that is a good strategy...until you end your set with a downer. This is perhaps where the jock (if applicable) will tease some uptempo Christmas tunes, but I digress. The Christmas format is becoming a very scientific format, and there are many do's and don'ts. Those who do it well succeed, but they do need to do it correctly.