You can start whenever you like (we go year round), but you needn't report to the school district until the age required by state law. For a 5 and 3yo I wouldn't spend the money on a curriculum since at that age most kids are learning just by living. You might want to google your state homeschooling laws and types of homeschooling.

Not everyone uses a canned curriculum or any curriculum at all for that matter.
For theater and music, you could probably find local children's companies. Even here in the boonies there's a children's performing arts company and acting class through the local dance studio. I imagine suburbs or cities have far more choices. My kids aren't interested in the theater, but they do a homeschool swim and gym program through the Y (two towns away) and my daughter does dance, gymnastics, and cheerleading.