I usually start in about October, writing a list for each child. I use the notes section on my iPad so that it appears there and on my phone but apps like ShopShop do the same thing too (or good old fashioned paper, nothing wrong with that!). I do this because then the lists are always handy if I'm out shopping and see something - I can check on my phone to see who it's for. I keep the list to five items for each child. This doesn't sound like a lot but I find that there are always odd presents that I buy which push the total to more. At least by starting small things can't get too out of hand. I always factor in that each child will get about three edible things as well - chocolate coins, a large tube of sweets (dd1 has almost always had a tube of completely pink smarties) and then something else like a selection box.
I try to do most of my shopping for the stockings on the internet. Amazon is my first port of call, mainly for books and DVDs. This year I followed that up with a trip to the newly opened Home Bargains shop that has appeared in our local shopping centre. Here I have found some annuals, stationery, and a couple of novelty items too. The rest will usually come from the supermarket and be things like toiletries, bubble bath, maybe some small Lego sets and gift cards (Club Penguin, iTunes, Claire's Accessories for example).
Once I've got all the shopping finished I tend to try and crack on with the wrapping straight away. I always get a carrier bag ready for each child and write their name on it. Once each present is wrapped it goes into the appropriate bag and then when everything for that child is done I tie the handles of the bag together. This has a couple of advantages for me. One is that if the bags are tied I won't usually be tempted to buy more. Secondly on Christmas Eve I can just tip everything into the appropriate stocking in one go, simples! You could of course use a different wrapping paper for each child. I've tried this too but sometimes have to change who's getting what and so need to rewrap.
I found a great list of stocking fillers for different age groups which I pinned onto my Christmas Pinterest Board (You'll have to scroll down a bit) for when I'm stuck for inspiration. It covers all family members but in our family the stockings are only for the children. This is because the little ones think it is Father Christmas that brings them and he doesn't bring things for adults! This suits me because at least dh and I get the credit for the bigger gifts - as it should be!
So that's how we do it here. How do you do yours?