As Fish Eaters states, "Tradition also has it that the kings were baptized by St. Thomas, and they are considered Saints of the Church. Though their feasts aren't celebrated liturgically, the dates given for them in the martyrology are as follows: St. Caspar on 1 January; St. Melchior on 6 January; and St. Balthasar on 11 January."
1st Image: Believed to be in the Public Domain
2nd Image: Casket of the Three Wise Men, which is housed in Cologne, Germany; it was crafted by Nikolaus de Verdun. The casket also contains the bones of Saint Felix, Saint Naborio and Saint Gregory of Spolito. More Information: Churchmouse