Spending time doing devotions and praying together as a family is a sweet idea that I would highly recommend for every night of the year. Advent is an even sweeter time to take your family devotions to the next level by adding the atmosphere of candlelight and a sweet treat. If this is not your current practice, THIS IS A GREAT TIME TO START spending time together reading God's promises, praying together, and preparing your hearts to commemorate the coming of Immanuel.
To set the atmosphere, our family bought an advent tree that has 24 boxes for us to preload treats for each nightly time together. If you don't have a tree like ours, you could wrap 24 little gift boxes, or simply use ziploc bags to hold simple treats, or go the easy route of buying one of those Advent pictures that has 24 chocolates hidden behind the snack hatches. Shutting down the lights to read by candlelight can really set the mood as well.