You need a hot glue gun, candy canes, Hershey's miniature chocolates (Christmas edition is nice), ribbon and mini bows. Three bags of miniatures, two packages of candy canes, and two packages of regular size Kit Kat bars made approximately 11 sleighs. I would suggest buying one more extra of the miniatures and the candy canes because the candy canes can break.
I used a glue gun to assemble this. If you want to do this as an activity with your children, I would suggest having an adult use a glue gun to adhere the candy canes to the Kit Kat bars, and have the children use white glue to adhere the Hershey's miniatures in a pyramid on top, then have the adult adhere the ribbons and bows with a glue gun.
When gluing on the candy canes, make sure the curved end is out far enough from the Kit Kat bar so that a miniature can hang over the edge slightly. If the curved part is too close you won't be able to fit the miniature underneath. To make the sleigh look uniform, use the same color wrapper on each layer, and orient the bars the same way on each layer.