No Santa
This is an issue for many grades.
I just tell my students that there are many things that we believe in when others do not. I teach grade 3 and I think for grade 2 upwards you can have a discussion about "believing". When the topic comes up I lead my class into a discussion about who are other people we believe in (or things) and of course we get a huge list (leprechauns, the Easter bunny, Santa, elves, tooth fairy) and sometimes God is mentioned as well.
We talk about how everyone has to decide for themselves if they believe or want to believe in Santa, the tooth fairy and even God. And then I emphasize the fact that it is ok to believe and it is ok not to believe and we have to respect everyone's choices.
I tell them that I believe in Santa and what he means - giving to others, being good, sharing. For those who are not sure, they are happy with this "choice". For those who do not want to believe they at least usually quit talking about it as much and those who do believe are happy they can keep on believing.