There's no overlap, but production order and broadcast order within the two series don't always agree, so there are a couple weird cases where characters get their returns before their first appearances. Does Season 1 of He-Man start with "The Cosmic Comet" or "Diamond Ray of Disappearance"? If the first, they're in production order and you may have to check for weirdness like that; if the second, then you should be able to just go straight through.
In any case, there's no overlap in production--you can go straight from the end of He-Man into the start of She-Ra without any issues. The Christmas Special fits in after She-Ra Season 1.