I never did the store Santa thing, so I only did the letter-writing. I don't remember when I stopped, although sometimes - when something particularly heartbreaking has happened - I find myself writing to Santa to ask him to fix things. It's cathartic to let it out like that.
(Being creative and a fiction writer, I tend to believe in the existence - on some level - of conceptual entities. Not that I wouldn't tackle someone in a weird suit doing B-and-E on the house, though.)