I would agree with going warlord for the simple fact that both your players are Martial characters, and thus staying with that theme makes the most logical sense. If you were to introduce a divine or arcane leader DMPC, you might be tempted to then introduce plot or story points that are divine or arcane based, and then the only character trained in the skills to deal with it is yourself. You end up focusing the roleplaying against yourself while your nephews watch. If you are all Martial characters, you'll be more inclined to keep the story in the veins that you all are emphasized in.
Now as far as what build of warlord... I would suggest a melee build for the simple fact that having a third PC in hand-to-hand gives your rogue a better chance to get into flanking, and thus get to use his Sneak Attack. With only two PCs in melee... the ability to gain Combat Advantage will be quite less likely for your rogue, and he might begin feeling as though one of his primary class abilities doesn't get to be used. On a similar note... one of your at-wills should definitely be Wolf Pack Tactics, so that you can assist your rogue even further into getting into flank.
Finally... I would concur that Tactical is probably the best build, if for no other reason than to take Commander's Strike, thereby letting both the rogue and fighter attack more often (at a substantial boost to power in addition). Whether you go eladrin for the Fey Step, or human for the third at-will (so that he has an second attack option besides just Wolf Pack Tactics, since your third should be Commander's Strike), that's probably a matter of personal taste (if there is a special effect off one of the other warlord at-wills that would complement the two PCs abilities).
Best of luck to you and your nephews!