The reason that extension cords are a faux pas when it comes to adding multiple energy using devices to it is that an extension cord is meant to carry only a certain amount of current. When the amount of current exceeds its carrying capacity the cord can overheat and melt. If the cord melts the two (or three) wires contained within the cord can get close enough to each other to create an arc of electricity. This arc (or even the heat of the melting cord) can cause a fire to start in your room.
Now, depending on the type of extension cord the risk is different. Extension cords made for heavy electrical loads and outside use are usually well insulated and can carry large currents (remember a longer cord means more resistance and thus more heat). Small extension cords (I don’t think they make these anymore) with multiple outlets at the end made for indoors are actually fairly dangerous as they are not well designed to carry the loads that might be applied today.
Really the most important thing is how much energy you are using. If you only have a few strands of Christmas lights running from the surge protector it won’t be a very large current. Also, most surge protectors have a circuit breaker that prevents an overload that would be large enough to be a problem.
So…...short answer…..yes, it is probably okay as long as it’s just a few lights. (though you might check the temperature of the extension cord after some use to see if it seems fairly hot)