We use very inexpensive figures of the wisemen (my most recent kings were from the dollar store) or you could draw or have a child draw the kings, or use 3 big fancy buttons that fell from the wisemen's cloaks.
Each night before bedtime, or after the kitchen is cleaned up from dinner etc., have someone in the family hide the 3 wisemen. We start in a room in the house that is farthest away from the nativity set. The wisemen are hidden, the children find them and that is all there is to it, but for some reason children love doing this. The next night someone else hides them and they are moved a little bit closer to the nativity, eventually going through most of the rooms in the house until on Christmas they finally find the Christ child.