Answer: they didn't. They viewed Christmas as a pagan celebration and the only celebration they allowed was attendance at daily church services or, if you were to be especially pious, fasting. The Pilgrims were big on that whole fasting thing. If the Indians had not shown up with all those turkeys and shit, their celebration of a successful harvest ("Thanksgiving") would have been a day of fasting. Their notion was that the way to show the Lord that you were pious was to deprive yourself, rather than indulge yourself.
Needless to say, I doubt you would have had any of these sombre dudes busy trampling people to death in their frenzy to get cheap goodies or any of the other trappings of America's secular christmas. They would have been too busy flogging young girls for dancing through the woods, or executing as "witches" women who were a little too uppity.
But of course you don't hear anything of the sort in today's American History classrooms. That would be "un-American", bringing these facts to the attention of our young people...
-- Badtux the History Penguin