didn't read everyone's posts, but here's what we do:
prior to the trip, we make a big production out of gettting our pressed penny coins ready...each kid counts out the 2 quarters and 1 penny for each day they will be there (we have the whole family room floor covered in coins, and the kids love it), then the kids shine them (first rub in ketchup, then rinse, then buff with baking soda, then rinse, then dry), then another round of playing them, then putting them in the container to go, and decorating the container (previous years we've done plastic bags, this year we're going to cover and decorate the big Airborne tubes).
They are excited about their OWN money (and this money counting is something they can handle at 4 y.o.), and they know that they get to pick a souvenir penny EVERY day of the trip...i think this alone limits our "i wants" in the stores. If they are in a store asking for something, it can be sometimes very easy to distract them with a suggestion to go look for the pressed penny machine, instead.
I also surprise them with something that they have been looking at during the trip (never on the very last day, though...too long for little ones!), so we don't mind them looking, but they know that if they whine about something, or keep asking for something, they will NOT get it (and we practice that a lot at home!).
Most days, in addition to the pressed pennies, we'll get a treat/snack, or Epcot masks, DVC stickers, placemats from character dining, etc, so they ALWAYS have something during the day as a special souvenir. At this age, this is usually enough to make my kids happy, thank goodness!
Have fun,