I am a child of divorce. I lived with my Mom and would go and see my Dad on weekend trips 2 times a month. And, I had a step-mom, who did not set boundries just "rules of the house" (like doing dishes after dinner, pick up after yourself, basic rules).
4 & 3 is a tough, but fun age. I would establish a routine. Kids that age need a routine. Our routine in our home is:
Dinner
Shower/Bath Time
Pajamas
Settle Down for Bedtime
Read Bedtime Stories
If the are 4 & 3 thier bedtime will probably be between 8:00-9:00pm I would be tempted to put them into bed at 8:00-8:15 read them a story or two (in my son's case it's 3-4) and see if the dose off. If anything, the reading to them before bed will calm them down. After the story, say goodnight, and tell them that you are glad that they are staying with you. See what happens. Depending on how big your house is, have plug in night lights in thier bedroom, hallways, and bathroom. Before you go to bed, keep thier door open and your door open in case they wake up in the middle of the night. If they do wake up crying for thier Mommy, don't get upset, just try to calm them down and talk to them in a soft voice (they may be half asleep when they wake up). Hopefully your husband will be there for them as well.
Establishing rules in YOUR household is important. Talk to your husband about it, and about disapline when he is not around.
I was raised with a loving Mom and a wonderful Step-Dad that I love as a father. He never over stepped his boundries where disipline was concerned. He had a "go to your room until Mom comes home" attitude. He had Step-Parents as well (who were the most wonderful people-I really lucked out). I think being in a situation where you are a step-child makes you a better step-parent because they have been in the child's shoes. Communication with your husband is so important in this situation. Talk about different things that could happen while they are with you, things that they may do and what your reactions should be.
Setting up activities are important. Don't take them to the Zoo, Pacific Science Center, Chuck E. Cheese, and a Movie all in one day. Just going to a Park, maybe the Zoo if the weather permits, or an indoor play gym. Or, stay at home. Do crafts (finger painting, coloring, papercrafts) Or bake sugar cookies (get the Pillsbury sugar cookie dough at the store), get fun cutouts, have them sprinkle colored sugars on them. Or, paint your toenails with them. I did that with my 3 nieces (ages 2,4,&5). My Mom made me do this in the kitchen, so we wouldn't spill nail polish on the carpet, the bathroom was too small for all 4 of us. And, they sat still until thier pretty toes were dry (amazing).
The girls are young. Just have fun with them!
I find it immature and strange that thier Mom won't communicate with you thier routine. Especially because they are so young. Maybe, she will tell you or write you a note of thier likes and dislikes right when the child exchange is being done.
Good Luck!
37 year old stay at home Mom of 2 handsome, busy, and curious boys ages 12 & 6, and a wonderful husband.