Combine feta cheese, cream cheese, and milk in a bowl and stir to combine. Press through a fine-mesh sieve, so cheese mixture is very fine. Spoon cheese mixture into a piping back with a round tip.
Pipe a semi-circle of cheese mixture over the top third of each cracker. Cut red peppers into triangles and place into the semi-circle for Santa's hat. Pipe 2 small dots for the eyes and 1 for the nose. Place 1 peppercorn into each 'eye dot' for the pupils and 1 caper into the 'nose dot'. Pipe a beard on the bottom of the cracker and place 2 celery slices, curved side facing down, on top of the beard.
