You can attach Christmas lights to stucco by using special clips or hooks designed for this purpose. These clips are made of heavy-duty plastic and have a small hole in the center for the screw. They are designed to hold onto the texture of the stucco and can be easily attached without damaging the surface. Some clips also come with a built-in LED bulb, which can be a great way to add a decorative touch to your stucco wall. For extra security, you can also use a small amount of silicone adhesive to hold the clip in place.