K.L.
Our twin boys are about the same age, so I hear you on the antics. Having said that, we don't see the extremes that you're mentioning unless we are completely out of routine (the holidays were crazy, so say the least). I think that the uphill battle that you're fighting here is quick response - if the daycare and grandparents don't reign them in immediately, you will really struggle to make it meaningful after the fact. Kids figure out VERY quickly what they can get away with - they know that you're strict, but it sounds like the others are only faciliatating their behavior. I'm a full-time mom (hate the SAHM term since we're never at home) so I can't speak from experience on the daycare issue, but I'm surprised that they're letting this occur. It would not be allowed to happen at our preschool. As for the granparents, do the kids like spending time there? If so, they need to know that they can only be there if they behave. Then you have to have a conversation with your folks - the first time that the twins act out, they need to call you to come pick them up (yes, immediately). I know it sounds harsh, but the only other option is for your folks to man up and discipline them while they're there. Same thing at the gym - they need to page you or however they reach you to yank the kids out of there immediately. Trust me, one or two times of removing them from something they enjoy (painful for the rest of the family if we miss something fun, but we need to follow through on what we say) and they'll realize that you don't tolerate that behavior anywhere...
Btw, I'm with you on the separation thing - the ONLY way that time out works in our house is in different rooms ;)