I've never seen anything that looks like a definitive recipe, but it is normally a sweet dough (cinnamon roll or sticky bun style).  According to most Scandanavian traditions it is a breakfast bun served with coffee.
My wife's family (Swedish-American) observed Santa Lucia day and they used hot-cross buns.  I will say that the more I learn about their traditions the more I realize how much they have changed from the old-world ways (don't even get me started on their "Swedish" rye bread).
From the research I have done, Santa Lucia buns are a sweet dough tinted with saffron for golden color, and I saw a very old picture (more like an icon) of buns that were double-twisted into an S shape.  If you have a copy of Bread Baker's Apprentice, it is the same shape as Pane Siciliano, which makes sense as Santa Lucia was from Sicily.  Here is a typical one from Wikipedia:

There is a Saffron Buns recipe in the Favorite Recipes section here at The Fresh Loaf, which you could use.  Based on the photos in the recipe, I would consider upping the saffron a bit for a deeper color.
The holiday is fun and a good opportunity to get young kids interested in baking My daughter was 6 last year and baked cinnamon rolls from a tube with no supervision using a toaster oven--she was quite pleased with herself.  An older girl could make them from scratch.
Good luck with it and have fun.  

Our first batch of Lucia buns evaporated so it was time to make a second one.  I found this semi-old query and thought I'd post some photos.  These are called "Lussebullar" or even "Lussekatter" in Swedish although Santa Lucia buns/bread are an excellent translation.  They are named after the festival of Lucia (the 13th of December) but are served through all of December.

The ingredients:

1/2 tsp salt, 7 tablespoons of butter (100 grams), 2 grams of saffran (this is double the normal amount but it's worth it...), 2 cups of whole (or more) milk, 1/2 pound quark, 50 grams (about 2 oz) cake yeast, 3/4 cup "vit baksirap" (essentially simple sugar with a large amount of glucose in it - regular, granulated sugar can by substituted although the buns stay more moist with the "vit baksirup"), 7-8 cups of flour

Start by adding the saffron to the milk and gently heating:

(This step is not necessary but I do it to extract as much flavor from the saffron as possible.  Ideally, this could be done the day before baking.)

Let the mixture steep and cool to about 95 degrees.

Add the milk/saffron mixture to the yeast in the mixing bowl...

... and mix to dissolve the yeast.

When the yeast has dissolved, add the quark and the "baksirap"/sugar before adding the flour:

Mix until elastic (about 10 minutes).

Add the salt and the rooms temperature butter (bit by bit):

Add any extra flour needed to make the dough managable and mix for another 10-15 minutes (on low speed).  When done, it will be very elastic and slightly sticky:

Let rise for 45 minutes and pour out onto a floured working surface.

This batch makes about 35 buns so divide into 35 pieces and start making your shapes:

We like to gild the lily around here so half of the batch was made into buns.  Simply roll out the dough, spread rooms temperature butter on it, grate almond paste over and sprinkle with raisins.

Roll up and slice the roll into inch-thick buns.

Place all of the buns on buttered or parchment-covered pans and let rise for 30 minutes. 

Before:

After:

Before baking, brush with an egg wash and bake in a very hot (425 degree) oven for 5-10 minutes.  Keep an eye on these as they seem to brown in seconds!

That should keep us going until after Monday's Christmas Eve festivities!

Hi, wath kind of flour is necessary to use? Cake flour? And I can use molasses or corn syrup? Thanks

The closest would be low fat, low salt cottage cheese, whipped smooth in a small kitchen machine. 

Mini O

I will try.

Sorry for my bad english but I'm italian and I'm learning now your language.

In Italy, quark is similar to ricotta but less sweet , do you know?