Curiously enough, the church celebrates the Magi on January 6, so it would seem our celebration of the Holy Innocents is a bit early.
The Holy Innocents, like the Feast of Stephen, falls on the day the saint(s) or martyr(s) entered into eternal glory. Church tradition holds that the date of the slaughter of the Innocents is December 28.
The Feast of Epiphany was placed into the church calendar to help us celebrate the life of Christ during the church year, so it comes at the end of the 12 Days of Christmas.
An excellent carol that celebrates the Holy Innocents is the Coventry Carol.