Easy solution: Wash your hands, very thoroughly, after handling Christmas lights. And it's probably not a good idea to let the kids help with the lights, unless they wear gloves, or unless you're certain that your lights are lead-free.
The following article comes from the Children's Health Environmental Coalition:
Holiday Lights and Christmas Trees May Contain Lead
Children's Health Environmental Coalition
If you've been shopping for holiday lights this season, you may have noticed a warning label on some of them stating that they may contain lead.
The warning is required by the State of California's Proposition 65. This law requires a warning label on any product containing a substance known to cause cancer or birth defects that is sold in California. Lead is listed as a carcinogen, but it's more widely associated with neurological damage.
Wire coating and cords are usually made of PVC plastic that may contain lead. Lead is used in PVC for several reasons. For wires and cords, lead makes the plastic more flexible and reduces the risk of fire. Lead is also used in many PVC products to stabilize the color. Lead in PVC products can disintegrate into lead-laced dust.
The labels began appearing on holiday lights, as well as on electronic equipment and cords on other consumer products such as hairdryers, after a number of lawsuits were filed by an environmental advocacy organization in California.... (read more)