They tend to only pop up on bar menus and in grocery stores around the holidays, I'm not sure of their connection to Christmas. I tried them for the first time last Christmas and they were delicious, I will try to create them at home. I'm unsure if smoked or regular bacon would be best and a good quality sausage is needed. I've seen them cooked in the oven and deep fried. I'd say deep fried is best for texture.