I read somewhere, I can't remember where, that guys should always buy lingerie and, no matter what size the lady, buy small. Overall that's a good plan. She gets something pretty and a compliment because you think she is tiny.
So far I have discovered two flaws with the plan, though.
You picked out her gift early (right?) and got her the sexiest thong and nightie they had in the store. When she has to return it with the gift receipt you remembered to get and pack in the box, it'll be after Christmas. And all the good stuff will be gone. So she'll buy a utilitarian pair of undies and a long cotton gown. Bad plan.
Also, if you buy her a bra and you get a small size, you're toast. She'll start yelling at you about telling her she needs a boob job. (I know, that's not what you said, you were just following directions, etc.)
It'd be better to find out what size she actually wears. Then she'll wear the nightie even though it itches and the thong even though she hates wedgies because you got them for her and you did know her size.
Just skip the bra entirely.
Or give the gift that REALLY hurts and wrap up one of those tiny thongs, a gift card, and your agreement to cheerfully go shopping with her for a whole day. Believe me, she'll remember that long after the stuff you bought is in Honduras being used for rag rugs.