At DD1's old daycare centre they had a similar situation where they found a few children in the cubby house lying on top of one another "playing sex" the director was informed and action was quickly taken DHS and the police stepped in and even had an educational chat with the children explaining how innapropriate (sp?) that kind of behaviour was etc.
So I would definately be contacting the director if things like that are happening it definatly needs to be addressed and quickly. Just dont be too hard on your own children they didnt know what they were doing was wrong they are just children experimenting with what they have seen and heard at the day care. Maybe even try set up some sort of a meeting with all the parents to discuss what is happening