It can be so frustrating when you feel you are doing your best and your children *still* won't cooperate with you! I have had periods with my children where I felt the same way you do: that nothing works and I'm constantly threatening to take things away and do nothing fun. It's not a good feeling and I really sympathize!
Now that my oldest is older (7 years and very high-need) we've been through the good-bad-good cycle a few times together, and there are a few things I've observed. One is that my children (DS1, 7 yrs, DS2, 2 yrs) tend to behave undesirably when I am very busy, whether it's a project I've involved myself with or am just taking too long checking my email. I wonder if your 4yo has (unintentionally) found that mischief gets mommy's undivided attention -- my kids do this sometimes too when I am concentrating on something else, especially if I've been busy with that something else a lot lately. Maybe using a sling or other type of baby carrier would make it easier to keep your baby close and even nurse while engaging with your older children, lessening the opportunity and need to get your attention.
Another thing I've noticed is that my boys become "mother deaf" when I fall into a habit of barking orders at them. I have learned to stop and ask myself whether I *need* them to do something, or do I feel like I should? Depending on the situation, I remind myself to take a deep breath and watch to see if DS does what I'm itching to tell him to do -- it's usually something like cleaning up a spill or closing the door all the way. Often, when I give him a chance to do it without being nagged, he does it on his own. Unfortunately we also have those days when it seems like everything my kids do is on purpose to make the biggest possible mess in the shortest amount of time, like the day recently when DS1 made himself an extremely messy peanut butter & jelly sandwich, getting jelly all over the counter and himself. He was not very cooperative in dealing with the mess and I'm sure, in retrospect, that my angry reaction only made the situation worse. My son could probably have cleaned up all that jelly with no extra commentary on my part, but all I could think about was how hard it would be to get out of the carpet! We all mess up sometimes, and we have to be willing to forgive ourselves and recognize the fact that we will have another chance to respond more positively the next time. So, the thing that I have learned to effectively deal with "mother deafness" is to first stop and ask myself if I really need to be demanding that my child do whatever it is that seems so urgent in the moment. The answer is often no; when it's yes, such as when something can get broken or someone can get hurt, I physically stop the activity if necessary (banging on the window with a stick, hitting another child), put my hands on my child's shoulders and make eye contact, say his name, and tell him he *may not* continue doing whatever it is, and that if he does, the consequence will be...whatever (I will take the stick away because I don't want the window broken; we will leave the park because hitting is not acceptable). I ask if he understands and if not I clarify. Sometimes, it turns out that the hitting was due to another child calling names or taking something from him, and then I encourage him to talk to the other child instead of hitting. Often, it seems that destructive (or potentially destructive) activities happen when I am busy, and that fighting with other kids tends to happen when they have been playing together for awhile and are tired, hungry, in need of a change of scenery, etc.
I have found that my 2yo ignores me entirely when I don't connect with him. It makes a huge difference to get on his level, make eye contact, speak calmly, clearly, and simply, and above all, not be dramatic no matter how upset I am. If I allow myself to get emotional and yell, he thinks I am playing and laughs and runs away. If I calmly say, "Please put the apple slices back in the bowl" and hold out the bowl, watching him and doing *nothing* else, he usually says, "Okay!" and does it. I believe that it makes all the difference in the world for him to hear my request and see me right there next to him, ready to help if needed and also expecting that he'll do what I asked.
It really helps to consciously connect with my children when they are already behaving well. It's the last thing you want to do when you are irritated with their behavior sometimes! But it can make a big difference. Spending some time, even just a few minutes, making eye contact and smiling while we do something enjoyable together can really help me feel more positively about them. Then, if I *have* to do something, it helps to say, "I have to do this really important thing. It will take me 10 minutes. I am going to set the timer, and when it goes off we will read a book (make muffins, play trucks, build a castle...)." Then I have to really stick with it, and be done when the timer goes off; however it seems to help when it's a finite amount of time that I'll be busy, and they know we'll do something fun when I'm done.
This is totally off the wall, too, but I thought I'd mention it...my kids always act out more when they are in the process of coming down with a cold or something! We have sometimes had a very bad couple days, and then someone wakes up coughing and sniffling, or throwing up. I've heard this from other mothers too! I've also heard others say that kids feel sort of rough when they're working on learning a new skill or dealing with a new situation, and that's been my experience too.
Good luck! Your kids are lucky to have a mom who cares so much about their feelings. Hang in there!