Over the years, I've run hot and cold on "worship bags." I've seen them become a distraction to both kids, parents, and others seated nearby. Yet I've heard parents say how helpful they were. Interestingly, in churches where we did not have them, I don't recall anybody asking for them.
If I had to pick just a few things, I'd only pick ONE actually: the Magna doodle. They keep the kids' attention, don't create waste, ...and the "pencil" is attached with a string Various websites sell a bunch of different brands/types/price points. Buy one to test it as some aren't made very well.