The difference is very idiomatic. The best way to learn the distinction is to read English text. I cannot think of any good rule for the words. I will say that, in this case, 'small' is better. You'll more often hear "a little money", but that money would almost always constitute a "small bonus check".
Another thing I want to mention is that, in your sentence, there are multiple employees but only one bonus check. You should say, "The employees each received a small Christmas bonus." Using 'each' here shows that they don't have to share a single bonus check. Alternatively, "The employees received small Christmas bonuses." Pluralizing 'bonus' shows that they don't have to share, but may imply that a single employee can get more than one bonus, or no bonus at all.
Finally, 'enormous' is bigger than 'huge' is bigger than 'big'. The rarer the use of a word, the more specific it tends to be about its meaning.
Hopefully, someone might come along with a more concrete understanding of how all these words differ. Unfortunately, I can only say how your examples function.
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