And if you can get the whole group (adults that is) to embrace this, then you have passed your first test of truly being able to create a Waldorf-inspired co-op! If parents don't "get" this part, they are going to have a really hard time "getting" Waldorf.
To enhance mood, less is definitely more. I would only do 2 songs - over and over again as you walk through wherever it is that you are walking. Again - it is the mood you are trying to emphasize - and lots of songs detracts from that. The simple rhythms and words will penetrate the children deeply. If there is too much, it will wash right over them. And...by doing this you are putting into action an incredibly important lesson for parents - that LESS IS MORE!! You want healthy early Waldorf education and parenting? Then bring on repetition, simplicity, reverence and mood of soul.
Then the story - as always think it through. Where are you going and what happens when you get there? Maybe everyone stands in a circle in the darkened woods - have them put down their lanterns. Think through what happens when - inevitably - someone's lantern blows out. Maybe make sure each parent has a set of extra long matches - you don't want one of the children to start crying because their lantern is out. An even better solution is if the person facilitating the festival (and every festival or gathering must have a facilitator to bring ego-presence to the gathering and to hold and carry it) can carry a special light which she then uses - in silence - to re-light any lanterns that go out.
Less is more, mood, simplicity. A simple story - it needs to be the story of St Martin if you're doing a Martinmas festival - stands to reason. Just tell the story and then everyone can again start to quietly sing and leave - have a place to where they walk to before going to their cars. In other words, again, think it through. You don't want to finish the story and then suddenly some children rush off to play. It should be an entity - endings are as important as beginnings. be conscious - don't let it either fade away or explode at the end. Gather in a circle again perhaps, whisper a quiet good night, put out lanterns - perhaps going around the circle in turn - in silence - pause, stand in the darkness and feel it. Maybe look up at the starts in a quiet moment of reverence. The quietly everyone goes home.
Parents need to understand that for their children to truly experience the sacredness of a true festival, then the mood must be sustained and preserved. Whispering as they get into their cars would be great - and if each family thinks how they can take some of the specialness of the festival home with them - continuing to whisper perhaps at home as they prepare for bed - or a special Martinmas supper, that would be wonderful.
This is important - if it's just because "this is a nice Waldorf thing" then there is no truth in it. But if this is a real festival which hopes to touch on the spiritual truths expressed by its celebration, then this is something one wants to share with ones children. This is something for the parents to contemplate deeply as they prepare themselves inwardly for this festival - and the better prepared and inwardly coherent the adults are, the better it will be for the children, who will be truly blessed to share something so rare in our society.