This is a bit unusual to throw a party for St. Nicolas, but it is traditional to exchange a few gifts on that day - especially in the German speaking part of Switzerland.
You usually give a little bag of mandarines and peanuts (the one still in their shell), with some sweets like 'sugus'. You'll find them ready-made in all shops (Migros, Coop), as well as little sof bread men, with a pipe indicating it's St. Nicolas. Yes, he smokes a pipe, don't ask me why
You also eat 'biscômes' on that day, ie sort of gingerbread with a picture of St. Nicolas on it, also readily availaible in all shops.
Miam, I like St. Nicolas