While little kids seem to do well at the HDDR, the show is not really geared much toward kids under the age of 6 years old (although many 4 year olds LOVE it).
It's one thing if *you* want to go, but if you are going for "them" I would skip it. It is really not the best thing to do for really little kids. There were plenty of little kids there when I went, but they were mostly "tag alongs" and had older siblings and stuff. I just wouldn't do the show if I only had small ones.