Hrm... I'd say try to raise them, well, to think rationally. If you actually do decide to give them a "easy obstacle to train on", make sure you're otherwise getting them thinking rationally, and if they ever start calling you on the inconsistancy, or get suspicious, don't try to "cheat" or otherwise discourage such. Heck, maybe the correct thing is to do such, but to right way admit it when called on it, no hesitation at all.

Or alternately, if they ask "if santa's real", explicitly suggest it to them as an exercise, as something for them to try to figure out a way to actually test or otherwise determine.