I would suppose that there are some parents homeschooling in the Waldorf way that are mystified by the festival life. Along the rhythm of the year celebrations mark the feeling of the season, whether it be slaying your own personal dragons at Michaelmas or the gesture of cutting your cloak in half to share with another at Martinmas (when it starts getting really cold). Festivals are a wonderful way to share and celebrate with your children, even if it is in a very small way...such as our little backyard walk. 
Amara and I had made some simple lanterns during a craft day. We used mod podge to adhere some tissue paper to clean glass jars and voila! Beautiful colors aglow. Since I have a four month old baby, preparation and planning is a slight challenge, but I didn't want Martinmas to fly by without any acknowledgement. We have a tipi in our backyard. So, we simply lit a fire in the tipi, lit some candles in our lanterns, and walked to the tipi while singing a little Martinmas song. We sat down by the fire and read the story of St. Martin in Reg Down's book The Festival of Stones, part of the Tiptoes Lightly series (if you don't know about these books, check them out... they're so great!)
You can keep it simple to celebrate the festivals of the year. Quiet reverance is a beautiful thing to create within your family!
Glimmer lantern, glimmer
Little stars that shimmer
Over rock and stock and stone
Wander tripping little gnome
Pe-wit, pe-wit, ric-a-tic-a-tic
Roo coo, Roo coo
