Over the past few years I've created family traditions on Christmas. Before my daughter was born I would spend Xmas eve with friends at a Jewish-themed comedy show, eating Chinese food. Now I try to spend the day with friends away from the crowds and shopping malls, and the evening with a special movie and Chinese take-out. I would suggest either It’s a Wonderful Life (classic for some) or Dirty Dancing (one of my favorite chick flicks and so Jewish!).
I have to admit Christmas is always complicated for converts. We have family who wants to see us and they are always going to request we join in their celebrations in ways that may make a new Jew question their Jewishness. I've found it can be easier when Christmas and Hanukkah overlap because there will always be activities at your shul to participate in and Hanukkah parties to attend.
By GW, a Conservative female