I once saw a website with patterns for figures for doing the Jesse Tree. You could color and cut out the figures, talking about what they mean. I think there are also kid-friendly explanations to go along with them online (I’ll search around for them…)
We have been doing the Advent wreath this past few years with the children. DD’s Catholic School sent home a little prayer booklet, and we use that as we light the candles.
I’ll let you know what ever else I find. We love Advent, too!