I'd be wondering where they saw it, and how they know about things like this...I'd definitely start hunting for answers, children do things that they've seen done, and I don't think they'd do it by just thinking it up at such an early age.
Hey, i cant imagine what must of gone through your mind when you found them! You need to keep drilling it into them that its wrong to do what they're doing. Im from the UK, and here it is illegal for a boy and girl to share a room if one or both are over the age of 5!! So that things like that dont happen. May i suggest a 3rd bedroom?!
I don't even know what to say to this. I am sorry no one else has said something, but I think talking to them more in depth where this idea came from and get further details as where they picked it up from. I know kids are curious, but not to that extent. Do they go to daycare or do they go to someones home to be baby sat? maybe they found a porno somewhere and got the idea and thought nothing of it cause they were "playing doctor" I would try and get more info from your kids. And both you and your husband talk to them together. Its scary to think about the things kids do and as early as they do it, i wish you all the best of luck in finding out where this idea came from. If this was my son, I'd freak out too.. Keep me posted and again I wish you all the luck.