Take the tradition home with you.
If you Google farolito or luminaria, there are several companies that can sell you the electronic versions. The bags attach to a string of lights, each spread a few feet apart, and have little hooks that keep them in place on the ground or wall. In fact, most hotels in Santa Fe use the electric lanterns to illuminate the hundreds of square feel outlining their roofs and walkways. Order your own set, plug them in, and voila! A little bit of Santa Fe lit up in your own front yard.
If you are so inclined to want the real, honest to goodness, authentic farolitos... they are easy to make, and the glow of your accomplishments will be very rewarding.
Open the paper bag, and flatten the bottom so it can stand up.
Gently fold the top of the bag down, twice, so there is a 1 inch "border" at the top.
Scoop 2-3 cups of sand in the bottom of the bag, enough to make sure the bag cannot tip over.
Place the tealight in the center of the sand.
Place the bag on the walkway where you want it.
Wait until dusk, and light the tealight.
If you want to get more creative, you can make a few decorative holes in the paper bag... possibly in the shape of a snowflake or other winter pattern.
Pour some hot chocolate, sit back with your loved ones, friends, and family, and enjoy the true spirit of the season!