We'll be at OKW then too! I'm shocked that you could get a reservation for NYE so close to the holiday! Congratulations.
OKW is a fantastic resort. The main pool has a sandcastle-themed water slide so your girls might prefer going to that one. All pools are heated, so you'll have no trouble swimming at that time of year...it's the getting out of the water part that could be chilly. We will pack our bathing suits and then see what the weather brings.
Other than the pools, your girls will probably love that activities at Community Hall. They have crafts, games and more. You'll get a schedule of activities when you check in. Some require advance sign-up and some do not. Some also require a fee (less for members) and some do not. Just check the schedule when you arrive to see what you'd like to do. OKW has tennis courts, ping pong tables, basketball courts, boat rentals and surrey bike rentals as well.
Other non-park things you can do are mini-golf (we prefer the WinterSummerland courses, but Fantasia Gardens is nice too), resort hopping (especially fun at that time of year when the resorts are all decorated) and visits to Downtown Disney (the boat ride from OKW is so nice). I would suggest taking the bus to the MK one day and hopping on the monorail for a "resort hop". You can stop at the Contemporary, Polynesian and Grand Floridian and then head back to the MK where you can take a boat to the Wilderness Lodge. (A holiday trip to WDW is not complete, IMO, without seeing the WL's decorations.) They are breathtaking! You could add in breakfast, lunch or dinner at one of the stops, depending on what time of day you do your "hop". We like breakfast at Chef Mickey's or lunch at Whispering Canyons (WL)...although you may find dining reservation availability sparse for that time.
Another great activity is the campfire at Fort Wilderness. It takes place every night at dusk (call the operator from your room phone and they can tell you the exact time) and offers a campfire (complete with 'smores), a sing-along, a visit from Chip & Dale and then a movie on the outdoor screen. If you don't have a car getting there can be tricky, but if you're interested you can PM me and I'll give you the directions.
I think the key to a successful vacation at that time of year is to take it slow and not expect to get on every ride. The parks will be packed, but we plan to concentrate on the shows and the non-park activities. We're just going to take it slow, see what we see, and enjoy our time off!
