Here are some ways to say it, depending on the context:
1. Focusing on the activity:
* On est allé faire la tournée des bonbons. (We went trick-or-treating.)
* On est allé demander des bonbons aux voisins. (We went to ask for candy from the neighbors.)
* On est allé sonner aux portes pour avoir des bonbons. (We went knocking on doors for candy.)
2. Focusing on the costume:
* On est allé se déguiser et demander des bonbons. (We went dressed up and asked for candy.)
* On était déguisés et on a fait le tour des maisons pour avoir des bonbons. (We were dressed up and went around the houses to get candy.)
3. Using a more informal expression:
* On a fait Halloween. (We celebrated Halloween.)
* On a fait la fête d'Halloween. (We had a Halloween party.)
The best way to say it depends on the specific context and the level of formality you want to achieve.