One other suggestion is the "dog tags" from the machine at Wal Mart. I had them imprinted for my kids for just a few dollars each and put them on a necklace. I had imprinted my name and cell phone number, my daughter's name, and the resort name. I used a short chain so that it didn't come off on the rides, and the kids never complained. After a while, they forgot they had them on. They, of course, were told that if they got lost, they were to look for someone with a CM nametag on and ask them to call the number on the tag.
The other thing I did for my piece of mind was to take a digital photo of each child every morning before we left the resort so that if one of them got lost I would have an accurate description of what they were wearing, what their hair looked like, etc. I'm always afraid that if one of them were missing, I wouldn't be able to recall anything helpful!