We did the FHE box Act. Day last month.  Here is what we did:

We gave out boxes ahead of time for each family to decorate. (Kinko's has good boxes with lids)  They all brought their boxes to the activity day.

One other thing we put in their boxes for them was a cardboard spinner type thing they could put lines on to assign FHE jobs.  On the outer circle they could put the jobs (lesson, treat, music, prayer, etc) and on the inner circle they could put the names of the family members.  We left it blank so they could divide up the sections and decide what they wanted to put on it.

We had 4 stations:

Lesson:
Various stories, most with flannel board type pictures to color, about Baptism.
These were all done ahead of time and put in a folder for them.  In the class I told them one of the stories so they could learn it real well.  Then they colored some of the pictures that went with it.  They also have coloring and cutting to do at home.  We also provided an outline of the completed FHE.

Music
Taught them the Family Night song from the CSMP, also provided copies of this and another FHE song, and the Baptism song we are learning
this year, since it goes with their lesson on Baptism they will be giving with this FHE.  We also had them tape Popsicle sticks to little signs to use with music: stop, go, soft (mouse), loud (lion), boys sing, girls sing, hum (hummingbird) OOOhh (owl) and buzz (bee). These were on colored cardstock. They also threaded curling ribbon through an eye-screw we had on the end of a thin dowel to use as a fun leading baton.

Treat
Gave them the cookbook and they made "rainbow toast" (to go with the lesson on baptism).  We put a few drops of food coloring in small cups
of milk.  They used a brand new plastic bristled paintbrush to create rainbows on white bread (careful not to saturate) and toasted it.  They
buttered and could sprinkle cinnamon & sugar if they wanted to.  This was easy and fun and they didn't even complain their "treat" was just toast! ;o)

Games
Gave them a folder with a few FHE games: a tic-tac-fact game that could also be used for other subjects, a footprint game on baptism, and a
set of "memory" cards we made using the pictures of the first presidency & the 12 apostles.  We also gave them a picture of all of them together and included the idea of singing their last names to the tune of 10 little Indians.