I just did this in February. Here is what I did:
I generated characters for each child independently. I posted here and on Hordelings asking for ideas for cool magic weapons that could power up to become very powerful. I ran a scenario where the Purple Dragon Knights asked them to check out how some bad guys were moving around so quickly. They were to be teleported somewhere by a War Wizard, but the spell went awry and they ended up somewhere else. This is where all the work came in.
I built a tower and terrain out of Heroscape to be the tower that held teleporters. They had to defeat a couple of werewolves and wolves and dire wolf to get control. Then, they teleported from that tower to a series of locales I had built. This allowed me to allow them to have as many encounters as they could fit it, without me having to worry about them finishing the adventure. An hour before the end of the party, I had them teleport to the final scene.
Here are the scenes:
Heroscape tower and terrain
This had werewolves, direwolf, several wolves - it was a practice scenario for the kids that had not played.
Ruined fort using Hersoscape walls, styrofoam, plastic trees, real rocks....on the two maps of the ruined fortress that came in the forgotten locations set.
They faced orcs, lots of orcs, that were sacrificing a unicorn. After they won, they disagreed what to do next, and camped. A bullette woke them up.
Two Megablock ships.
Half were teleported to one ship, half to the other. Each crew argued that the other was evil, and the kids couldn't figure out what to do, until the sahuagin showed up!
Underground lair, built using styrofoam, and the mushroom map and drow outpost map.
Faced off against Yuan-ti. The big bad Yuan-ti stood next to a pruple piece of styrofoam that pulsed every round and healed him and made him stronger. I had scattered lego weapons around, some of which were cursed and allowed the Yuan-ti to take them over. They had to figure out how to save their friends, while their friends attacked them.
We had also built a dragon graveyard using megablock dragon parts and the dragon graveyard map. They did not have time to run this one. They would have faced dragons.
We (my wife mostly on this one) also built a colesium with hundreds of lego people sitting in the stands. They would have faced random cool monsters in a battle, but we ran out of time.
The final scene featured the Gartgantuan Blue that my mom had bought as a gift for my son. They appeared in a terrain with some real rocks, but that was about it. The upper terrain was desert, but the lower terrain (I had put one map up on books to be about 5 inches higher) was a hallucinatory terrain of ice. When they got to the lower terrain, I shook the table a couple of times while their characters were trying to figure out what was going on. Then I pulled out the real desert map (the G blue map) and the G Blue, and told my son it was his present from his grandmother, which was about to kill the whole party. Before this, I had upped all their hitpoints, AC, and special weapons.
There are picturs of some of the scenes here:
I highly recommend this as a scenario, as it allows you to teach the game, have them have constant fun, but allows you to control the timing and other aspects.
Each kid got a d20 and the weapon dice for his character to take home, along with item cards from Paizo and their character sheet.