The most (or indeed, the only) detailed description of Elvish Yule customs that I'm aware of is to be found in BoLT, but I've no idea how much, if any, of this Tolkien still considered valid or (ahem) canonical at the time of writing LotR. It mainly revolves around the ceremony of
Turuhalme, the Logdrawing, i.e. fetching of the Yule Log, the burning of which was accompanied by telling some long stories from past Elven history.
Googling
Turuhalme , I just stumbled across
this site here, which features some rather esoteric but nonetheless interesting discussion of the topic, drawing connections to both Norse and Celtic festivals of the winter season, and also includes some extensive quotes from BoLT itself on the matter.
On a more humorous note,
Ibrin's new avatar made me imagine Gandalf disguised as Father Yule bringing presents to the Old Took's numerous children and grandchildren... but here we enter the realm of (never to be written) fan-fiction.
