I'd play along with her and have fun with it. I guess that's why I find that age so appealing. I would have given her the unicorn right away, but of course there would be some obstacles to overcome before it would get to her. For one thing, unicorns CAN'T teleport, that's just myth. And it doesn't want to get into the gold-foil-lined shipping box until it finishes its meal of cinnamon hay, and anyway, it won't want to stay with her unless she can keep it supplied with lots of cinnamon hay and is she ready for that? It would be SO embarassing if the unicorn showed up and came out of the box and asked for its cinnamon hay and she didn't have ANY to give it. You get the idea.

Or.. I might have told her as long as she's a virgin, she won't have to go looking for unicorns, they'll come looking for her. Probably not, if anyone else was listening.