I don't remember for sure whether we have any tools written to do the kind of sprites extraction from main.dat that you're asking for. I know Windows Lemmings came with a bitmap that has all the sprites, but that game obviously don't have the Xmas style graphics. Similarly, at some point I did write a program to extract all graphics, including lemming sprites, from Mac Lemmings, but I don't have Mac version of Xmas Lemmings to run the program on (and not sure if you want that particular version anyhow).
Still, somehow I seem to recall that some program for main.dat extraction may have existed at some point, but I'm really not sure. I'm pretty sure I never wrote one myself. The closest thing that came to mind is a primitive program that tseug wrote back on the old old forums. If I recall, it can display a single frame of sprite from main.dat, but only if you point it to the exact location within the file (more accurately, the location in the decompressed section), and specify the width, height, and number of bitplanes for the image. Then the program can display it and you can attempt to extract it via screenshot that way. I don't remember the name of the tool though or where it might be located on my old computer, and even then, you need other documentation on the layout of main.dat to make use of the program. It'll obviously be a tedious affair.
I guess given the availability of documentation on main.dat, it's probably within my abilities to write a program for sprite extraction from main.dat, but I'm on holiday, so you'll have to excuse me if my mind's elsewhere.