We stream conference on the computer (we're freaks without TV service) and play radio/iPod streams throughout the house. The kids are free to play inside or out during all four sessions, but when one of the Apostles or First Presidency speaks, they have to come in and listen. The boys take notes/draw pictures using this very basic packet from the church website. We've not yet begun to worry about the girls' souls.
The kids learn that all four sessions of conference are equally important. We don't want them to think the Saturday or Sunday afternoon sessions are optional.
They only have to focus for 10-20 minutes at a time, then they get a break. At their ages, we feel that's a reasonable expectation. With 15 speakers at an average of 10 minutes each, they're getting plenty of exposure, yet it doesn't feel like a never-ending meeting.
Mom and Dad get to enjoy some portions of conference without kids pestering us or feeling guilty like we should be making them listen as well.
Works for us! I'd love to hear suggestions from others, too.