If you choose a living tree, there are several vital precautions you must take.
Dig the hole for it now. If you wait until after Christmas, you may need a pick axe to break through the frozen soil. Store the soil from the hole in a wheelbarrow in your garage or other place where it won't freeze.
Display the living tree indoors for a very brief period. The warmth of your home will interfere with the tree's ability to adjust to the winter cold. Consider bringing the tree indoors on Christmas Eve and returning it outside within 24 hours. Keep it away from heating vents and consider putting on sweaters and turning down the thermostat.
Consider spraying the tree with Wilt Pruf or Wilt Stop. These anti-desiccant sprays help the needles to hold their moisture, both in the house and outdoors after planting. These sprays are also beneficial to cut trees, wreaths and garlands. They seal in moisture to help prevent them from dropping needles.
At planting time, use the fill dirt from the garage and make a substantial earthen ring around the tree to catch moisture. Water the root ball thoroughly, even if it's snowing. Continue to water the tree throughout the winter, especially during dry, windy spells.
With the proper precautions and care, your living tree will make it through its first winter and become a permanent asset to your landscape.