stay off the strip if you have kids with you.
Go to the free candy tour at Ethel M's Chocolates out on the south side of town - it is very fun with samples, too.
There is a fabulous children's museum - if you look at the stickies at the top of the page, you will see some other suggestions!
The above poster is correct, the distances between casinos are easy to under estimate - they are VERY FAR apart and for kids, the walking can seem endless. If you MUST bring them downtown, I would park at Excaliber and look around there - there are some kid things there. OR go to circus circus (drive) and see the free shows there. A huge FAO Schwartz toy store is in Ceasar's Palace shopping area - but it is far away from everything else and very very pricey. Still, great fun to look at and there are other free fun things to see in that shopping area (called the forum shops)
You could go out to Sam's Town - a free outdoor "western" show with animated animals PLUS they have a bowling alley and a great movie theater complex right there.
Of course Hoover Dam is a good family destination - a good tour.
Bottom line - if they are real small Don't take them downtown!