On the main tab of Flexi tool, from the dropdown box, select:
"(from graphic set)" if you want the Santa lemmings on the Xmas set, and regular lemmings on other sets
"default" if you want the regular lemmings always
"xmas" if you want the Santa lemmings always
You do not need to add any custom data files if all you want to do is switch which one of these two sprite sets is used, as NL itself includes both of these sets.
If you are doing this and using V10.12.12 / V10.12.12-B to play your NXP and it still doesn't work, let me know and I'll look into whether there's some bug here.