That is so sad I can understand the little ones being clingy. Perhaps offer to stay over the night? That way they're in their own environment and they know that dad's right where he always is.
The poor guy obviously needs a chance to work through his feelings, sadly the fact that it happened only recently might mean that it may not happen for a while.
I can't really offer much else in the way of ideas for the kids that anyone else hasn't already given, but it's so lovely of you to be there for him and the kids. I'm certain that he appreciates it and the kids need to know that while things have changed and they've lost someone that is their whole world, they still have another person that's there for them.