We adapted this idea from a church in California:

We do not let children into our classroom space until the adults are in place (which is hopefully 15 minutes before official start time). But we also know that having UNSTRUCTURED time can lead to kids going out of control and running loose, ...which affects the beginning of classes in a negative way when we do finally corral them.

So.... we have the children sit with their shepherd and do what we call "Buckets of Fun" time.

The buckets are actually shoebox or bigger Rubbermaid-type storage containers with games, legos, geomags (most popular these days), etc. in them. As preparation for class each week, the Shepherd gets one or two "buckets" off of the shelf in the Children's Ministry closet (their children and other early arrivers get to help choose). When it is time to begin, someone blinks the lights and all the stuff is dumped into the "bucket" and everyone is ready. So you can't play long involved games like Monopoly. And you want to encouraged relaxed non-competitive playing that allows latecomers to add in. (Pick up sticks, Jenga, Kerplunk are games that work well.)

Also during this time, the Shepherd can have informal "how was your week?" and "how did the game/performance go?" type conversations.

We've educated our shepherds to understand this THIS TIME is very valuable shepherding time.