If you'd like to start an Elf on the Shelf tradition, the first step is to purchase a special elf figurine or plush. Traditionally, elves are named, and children are encouraged to give the elf a name that they think suits the elf's personality. The next step is to set up a special space for the elf to sit and watch over the child's activities. Many families choose to place the elf on a bookshelf, a mantle, or even a window sill.