hey Alan, welcome to the board.
- do you want them to go to a bilingual school?
- how much spanish do they know now?
- do you have a budget for their schooling and if - so, how much per month and per child?
- what will your status be here? legal (with residency) i assume?
there are publick and private schools here and while the public are free, the private ones can cost up to 800 euros (approx. $1,125) a month

this is why i ask the questions above.
the private bilingual schools here are usually based on the british education system and can be very expensive. the top-notch ones are "kings college" (
www.kingscollege.es ) and "the british council" (
www.britishcouncil.org/spain.htm ). there is also at least 1 "american" school here (
www.asmadrid.org ).
the british ones can be VERY exclusive and hard to get into so you need to apply years before you want your child to attend in many cases and even then there are no guarantees.
the only issue is that these schools may be too heavy on the english learning end and you want your kids to learn as much Spanish as possible so you may want to go with a spanish school that boasts bilingual students, "brains" comes to mind -->
www.colegiobrains.com ( english version at
www.colegiobrains.com/brains_ing.html ). they have schools and nursery schools all over madrid for all ages of kids. they boast "a spanish school with bilingual students".
saludos,
jer...