WhimsyBits, have you tried doing shows at times other than the holidays? If not, the only way to know for sure is to do a few.
Don't forget, the holidays aren't the only time people buy stuff. We have Valentine's Day coming up, Mother's Day, Easter, Father's Day. People buy for others due to birthdays, anniversaries, weddings, or just because they saw something unique & whimsical that matches someone they know.
If you don't do well at one show, don't automatically write off that time of year. It could be that specific show/demographic. It could be that the show promoter didn't promote the show well. It could be a variety of things, not just necessarily the time of year. If one show doesn't pan out, try another & another.
Sometimes, it just takes time for people to see your crafts & you might not get them the first time but they might be looking for you the next time. Luckily, we've always made $ at our shows, but some shows we might have just squeaked by & made enough to cover our costs, but the next time we did the same show, we made a lot more, as we started doing our own promotions to let customers know the shows we'd be attending & when.
Building can take time. At the very least, strive to make your booth fee back. I tend to look at craft shows more along the marketing side of things. Sure, I want to make $$, we all do. But, I also look at being at these shows as an opportunity to meet new potential customers, sell to returning customers & to get our name out there. The more we show up, the more people that will be looking for us the next time.