Well, if they are truely sincere little beliving kids, you might have to break it to them gently.
If they are normal kids well on the way to developing a full-fledged double life, they could well do back-flips with joy. When older, when they fully appreciate the life of shit you are saving them from, they may well build libraries and name after you to show their appreciation and love.
Just make sure that there is an obvious plus side presented to them along with the 'not a jw any more' in case the indoctrination has got them and they are worried about not being a JW.
"Kids, would you kill someone if they liked Pepsi more than Coke?" (Allow for answer) "Precisely! Do you think god would kill soemone because they liked Pepsi more than Coke? (Allow for answer) Precisely! Mummy and daddy have been doing a lot of reading and studying, and we don't think it is right for people to go round saying that god doesn't like good people because they do things slightly different, or believe things slightly different to others."
"Now, the people at the Kingdon Hall, they don't don;t think like that, and we don't think it's a nice idea to spend time with people like that - people who think god is their special friend and not other good peoples friend as well. It's nasty and big-headed and so not true. So we won't be going to meetings anymore, we will be celebrating birthdays and Christmas - because once we started thinking about it the idea of god being angry with people for showing that they love their friends and family is just silly (and when did you ever hear of anyone having their head cut off at a birthday party) and I'm gonna buy you ALL the Harry Potter books. Okay? Any questions?" (Allow for answer) "Precisely! Good. Who wants ice cream?"