+ 1 on what Irulan said. You will be generating lots of heat while they're just sitting still, so more insulation is required than you'd think. A sleeping bag sounds good. Remember it gets compressed underneath, so an extra layer of foam pad or something to sit in or underfoot is good. A quick way to add heat is just find a non-leaky water bottle and add as hot water as the material allows. Put it in a sock if it's hot enough to burn, then put it inside the sleeping bag or blanket. Refill with warm water anywhere you can if you're out for a while.
Here they typically say to keep outings to less than an hour, hour and a half if the temperature is below -10 C, and to not go out at all with small kids below -15 C (with kids sitting still in ski-sleds that is). I was also told that a good way to check body temperature is by feeling the back of the kids neck.
Winter riding is much less about badassery and much more about bundle-uppery. - malkin
1995 Kona Cinder Cone commuterFrankenbike/Selle Italia SLR Lady Gel Flow
2008 white Nakamura Summit Custom mtb/Terry Falcon X
2000 Schwinn Fastback Comp road bike/Specialized Jett