OP, it sounds like you've had your hopes up about what "sort" of people your new neighbours were going to be, and you are understandably disappointed that you're not going to have much in common with them, and may, just possibly, have let some of that disappointment influence, and leak through into, your dealings with them.
The smoking thing is annoying - I wouldn't like it, but I would be aware that I have no right to dictate to them where in their own garden they choose to smoke. How soon did you raise it with them? If it was very early on after they moved in, they were probably a bit defensive. It might have been better to leave it a while, and then gently mention it during some other conversation - you might have got better results than making it into "an issue."
This exchange has probably coloured their view of you and made them less receptive to other complaints. The things that have happened seem to be isolated incidents - a single stone coming over the fence, and one willy-waggling incident. If they were doing these things constantly, you might need to take a slightly more robust approach about it, but one-offs can be dealt with accordingly. The stone shouldn't have been thrown - that one probably warranted flagging up with the mum as soon as it happened. I think the willy waggling could have been dealt with much more lightly - possibly by simply shouting over to the boys "oy, lads, put them away, she's only three and she's getting upset", and mentioning it to the mum, light-heartedly, the next time you saw her.
It sounds like, in a fairly short period of time you've gone trooping round to complain about several things, and they're probably feeling defensive and wondering if you are planning on complaining about every single thing that the kids do.
Being irritated about something does not have to result in a complaint. When you live in close proximity to other people, you need to keep things in perspective. Some things need challenging, some things can be shrugged off, and other things can be dealt with on an ad hoc basis.
You do sound a little bit precious about your "nice girls", and I think you need to be very sure that doesn't come across to your neighbours. Have a think about what you want to achieve from this chat with them - ie what issues are real deal-breakers, and what concessions you can make. A bit of give and take will probably go a long way to making things much more pleasant all round.
And I do think you need to get the willy waggling into perspective. I have a just 4 year-old, who spent a week with another little boy at pre-school, gleefully dropping their pants and performing willy-waggling dances at every opportunity. Of course all the other children (boys and girls) fell about the place laughing, which just reinforced the idea that the two of them were the funniest things ever. We had murders stopping the willy dancing.
Boys have willies. Willies are funny when you are three. Many owners of funny willies will want to wave them about in the hope of others finding them equally amusing. Don't build it up too much, OP. One day you may find your DD bouncing on a trampoline waving her naked buttocks in the wind and shouting "bum bum bum" or similar.