Amber is not quite correct.
Since you are both on TN, your kids' TDs are not dependent on any particular TN, even though they were granted based on your TN. However, their I-94s must remain current.
So, if their I-94s are still valid, they don't need to do anything. However, if their TDs are about to expire, it wouldn't be the worst thing to do to take them with you. You can also renew TDs by mail (I-539) once you get your TN, as long as you do this before their I-94 expires.
Otherwise you could see yourself making a trip to the border for the sole purpose of renewing their TDs.
But, to be clear, you ending your TN does NOT affect their TD, because your spouse has her TN, and they are her dependents, too.