Originally Posted by Countrygal:
I'm not an expert - I don't have a degree in education or anything, but I did homeschool all three of my children with huge success.
I think it depends a lot upon how old and well developed they are. You mention they are way behind in their learning, but what about in the other areas such as motor skills, speech, etc?
I'm going to disagree with the others a little here. My 5yo loves worksheets. He doesn't like to color a lot. The four yo I have in daycare loves to color. 
I would work more with them as individuals. Does one like worksheets and one like to color? Go with it! Do a worksheet and then a coloring sheet. But don't do more than one or two at a time. They are definitely too little to do a lot. My gs is almost six and we only do 1 1/2 hours of "school" and that is a combination of reading, writing, coloring, worksheets, listening, science and history. 
Sometimes even that is split or relaxed for the day, depending upon the day.
What I think I'm trying to say is do what works for you. Basic things like colors, numbers, counting, even basic adding and subtracting concepts can easily be taught (and probably better taught) through play and interaction. A few worksheets a day thrown in to reinforce concepts I think is fine - but I certainly don't think they're the best way to teach a concept.
I hope I'm making sense. It's early and I didn't sleep too well last night. 
This is great advice. These two boys are very different and I'll keep in mind that what works with one, may not work for the other!