I try to keep the cost of their presents somewhat equal, so not as to favor one over the other. Also, I only try to buy them one item. If I get one two items, and the other one... Yeah, they don't like that.
So I see the toy that I want to buy for my nephew at Walmart for $20. Not bad, but they don't have the one I want for my niece. So the next day I roll out to Toys R Us. They have the toy I want for my niece for $20, and they have the toy I want to get my nephew in stock! But it's running $35.
Purchase my niece's toy, then scoot over to Walmart. The toy I want to get him has dropped to $10. What??? I'm all over that.
On an aside, I took my daughter toy shopping with me. I specifically told her that we were shopping for her cousins. Adorable Preciousness did very well. She did want to play with the toys, but I don't think she did anything unreasonable. She didn't try to take anything and there was no crying. However, after we had her cousin's toys she could not quite grasp why we were not going straight to their home to give them their gifts.
I wish you and yours a Merry Christmas!