Pynki, that's a good idea for older kids, staying until the sermon.
Ekblad, that must be really tough, with all your kids staying with you throughout the whole service. Are there any other adults in your church who don't have kids but who adore yours? You could sit beside them and ask them if they would mind giving you a hand if the kids get restless.
Could you sit the 4 yr old on one side (next to your dh or one of those caring adults) and the 5 yr old on the complete other side of the pew?
In defense of the Nursery.... my ds (almost 2) goes to the nursery every Sunday and he really enjoys it. In fact, every morning when he wakes up he says, "It's Sunday! Let's go to church!" This morning I had to explain that , "No, today's Friday. So the girls are coming over to play, then tomorrow's Saturday and you get to watch Blues Clues with Daddy, and then
it's Sunday." And at night when we're in bed talking, he likes to name all his friends in the nursery, starting with the woman who keeps them. I am so glad he enjoys it so much. I don't know what I would do if there was no nursery for a whole season! Probably just wouldn't even go!
I find it almost impossible to keep a toddler under control, somewhat still and quiet for any amount of time!