Harness and leashes for the kids. Really. They can move faster than you can see/react/chase.
I would take a couple of bags of granola and energy bars, but make sure you taste-test them on the kids first.
Glow sticks could be very useful. The ones from the dollar store would work fine for most of your purposes, like lighting the way to the bathroom, etc.
+1 on the insect repellent. Here's one reason:
My good friend's nephew We were just talking about it a couple of nights ago, and he's still got it but it's better, he's still being treated, one of his kidney's is still affected and will probably always be.
If you're going to be staying in one area, find out immediately what places you could use for help (short of the embassy) that would be safe and reliable, and both of you should have the list.
And have a good time!
Sue