Back when I was in a triad, both women had children. They were 5 years or younger. So they did not see anything weird about the adults sleeping in one bed. As far as they were concerned, it was just a big slumber party. We talked about what we would say to the kids. We came up with something similar to what you just said, Redpepper. You don't have to go into detail, but if they are asking, then it seems they are ready for some of the knowledge.
On the downside of this, one of the women's ex-husband tried to get custody of the children. The main reason was that he was not paying child support and if he had custody, he could avoid jail. The triad had broke up by that point, but he tried to use that as a reason to get the kids. Luckily that didn't get much traction.
He converted back to being Mormon and got the community behind him to get the kids away from their mother because she was an atheist. The Mormon community worked with him to get the kids though some lies and deceit. The mother seemed like she was going to get the kids back until she ran out of money for her lawyer. (Little off tangent here.