A menorah with real candles or oil is a beautiful sight and fascinating to pets. Make sure furry family members are supervised when in the same room; better yet confine them away from the room containing the menorah or any candelabra.
If you will have a large gathering and your pet is not used to such activity or even a small gathering with people not familiar to your pet it might be best to confine your furry family member to a quiet part of the house. This will reduce the possibility of your pet inadvertently getting out of the house as well. It will also prevent unpredictable behavior such as growling, snapping, biting or scratching.
Dressing your pet in a Hanukkah-appropriate Tee-shirt or a prayer shawl and yarmulke might make for a nice holiday photo but don't force a reluctant pet to get dressed up if they don't like to.