Because of the built up magic feed, I feel that the huge amount of energy has supercharged the electrical auras that surround each reindeer. Auras are the electromagnetic fields that surround every living thing. The supercharged electricity would have no place to go, but into Santa's aura, who is such close contact with the reindeer, and of course, Mrs. Claus, who "tends the reindeer and their sleigh," as according to the popular Christmas song. The extra energy would increase the reindeer's wind protection, that they would have evolved into after generations for flying. The energy would saturate Santa and the sleigh with protection, because of their close and continued proximity to the reindeer. This would, of course, also extend their life span beyond their usual, and up their metabolism, which would take care of most of the multitude of calories, but not all. To address that problem, we first have to address another.
Even with the built up power of the reindeer, the huge amount of mass on the sleigh would quickly unbalance and all of the toys fall into the ocean. To solve that, Santa would have to engineer a teleporter. The physics of teleportation are very simple in theory and explanation. First, one would have to develop a type of scanner that would be able to memorize all of the molecules and patterns in an object. Then one would have to break away all of the bonds holding the molecules in a solid state, and transmit them like a light wave. The human light wave could then be bounced off of orbiting satellites and received by another machine in Santa's bag. The receiving machine would have to be able to reform the molecules and recreate the bonds. It would also have the scan taken at the beginning to use as a reference. While there is no telling if a living thing could survive such an experience, it is reasonable to assume that a present could.
Santa could also use this teleportation network to send milk and cookies back to his base at the North Pole and pay the elves with them, save them for late, or give them to Mrs. Claus. He would also, of course, eat a great many of them, and feed the reindeer, who unlike dogs, probably can be given chocolate. He would then have an average sleigh weight, which would be kept up right by the speed of the reindeer. Santa could use a teleportation unit, like the one in the bag, but with a fan, long-range reformer, no reception unit, and a high powered vacuum to get him back up.
If there is anything else you doubt about Santa, I will be happy to share or make up a theory to counter your dark thoughts.