The characters for this Christmas Nativity are knitted in the round with the Magic Loop Technique. You can also knit them with double pointed needles too (dpns).

Joseph is almost 4 inches tall
Mary is 3.5 inches tall

Dec 2012:
These are the yarns and needles sizes to knit my other animals to the same scale as the Nativity Family:

Donkey, thin dk yarn and 3mm needles
Cow, sock yarn, 2,50mm needles
Chicken, sock yarn, 2,25 mm needles
Camel, sock yarn 2,25mm neeldes
Horse, thin dk yarn 3mm needles
The new small sheep pattern is in my Ravelry store and is called; Nativity Sheep Pattern.
The goat will be added soon.