We do and have had some fun with it. This year we drew mustaches on the kids and put a marker in the elf's hand. It was hoot in the morning as they were all PO'ed and wanted to hurt the elf.
I put this in humor because the story the woman tells is very funny.
http://peopleiwanttopunchinthethroat.blogspot.com/2011/12/over-achieving-elf-on-shelf-mommies.html A bit of a teaser...
93. Sit on toilet OUTSIDE on front lawn - if you happen to have an extra toilet being stored.
WTF? Who has an "extra" toilet they can put in the yard? Either she's grasping at straws to get to 101 or she's white trash.