I forgot to mention one thing that's optional but pretty important, if you can arrange it.

Plan an a physical activity right away.  Imagine a carload of excited children who've waited all month for this sleepover, vowing they won't sleep all night. They've got so much energy bottled up inside them, they just might scream all the way to your house.  (I've experienced that very scenario.)

In our case, we're hoping there's enough snow to sled. We've got a great sledding hill just down the block. As soon as we arrive at my house, the girls will unload their suitcases, sleeping bags, and presents.  They'll visit the bathrooms, don their snow gear, and we're off!  I'm going to drop them off at the top of the hill, run home and do a a couple of quick party things, then run back over to the hill to supervise (supervise = read a book in the van while they sled.)

Other activities you could do with your group:

• Birthday party games
• Scavenger hunt
• Go somewhere else first - bowling, swimming, stop at a park on the way home, etc.
• Clean your house (just kidding, but if they think vacuuming is fun, why fight it?)

One more optional activity:

Make something. This is something I usually arrange, but nothing struck me this year, so the girls will have to think making hot chocolate (after sledding) or Purple Cows is enough.  Consider these options, which seem popular among grade school children:

• Craft kits - available at many stores, these kits don't require you to do much work or preparation.
• Surf the internet for craft ideas to use up your leftovers. If you've got the time to surf, you can find just about anything. So, go through your craft supplies and make a list of things you wouldn't mind using.
• Theme crafts - try to stick to the theme of your party, if there is one.
• Party favors - children can make their own party favors or even just decorate the baggie in which they take their goodies home. 
• Memory makers - Picture frames with a picture of the birthday child and guest are a hit.  They could also decorate pillow cases or t-shirts and have everyone at the party sign it. Lots of fun and a great memory of a fun night.
• Food - last year I got supplies for individual pizzas. Each child made their own, then I cooked them. No one said, "I don't like it." There was little food thrown away. And, it was another activity to keep them busy.  One time, the girls decorated their own mini birthday cakes.  Equally fun.
• Group project - consider having all the children do something together.  It could be a recipe or maybe a project for charity.