OK so don't know how 'crafty' you want this party to be but here are some suggestions:
familycrafts.about.com/od/piratecrafts1/Pirate_Crafts.htm
Can't find link but from memory you can make a pretty simple "ship in a bottle" with 4 to 5 yr olds using large glass jars (such as pickles come in, with wide mouths, large lids) some plasticine, some straws, some blue children's poster paint, a white napkin or some white kitchen roll, some glue and some uncooked rice)
Method:
Get a large bowl of uncooked rice and stir in about a tablespoon of child's undiluted poster paint. Stir around a bit until rice blue and white (to resemble sea). Leave to dry (you do this bit in advance).
Children make the base of a boat with plasticine. Just a basic yacht shape.
Cut a straw to size and stick in plasticine (to form mast). Cut out a (double size you think approp.) triangle from kitchen roll or napkin and then fold in two to form smaller triangles - glue the two sides togetehr - AROUND straw to make smaller triangular sail. (You can also prepare the sails in advance if too fiddly for the boys).
Stick plasticine boat down firmly on base of glass pickle jar or plastic pasta jar (jar on its side obviously!) Pour about an inch or so of rice in to each jar. (It swishes about to form 'waves'!!) Put lid back on jar. Voila! Ship in bottle. Best to name each one.
(Also has advantage that it's a good take home present) Sounds complicated but it's a very easy and quick craft project. I did it with 10 4-5 yr olds and they loved it!
Have a look at this:
www.partypieces.co.uk/category/themed+parties_classic+themes_buried+treasure.htm for supplies but perhaps better prices here:
partypacks.co.uk/list.asp?urx=cd:bb;dt:;zk:zHA10125617T;
Oh and this thread might be of interest also:
www.mumsnet.com/Talk/parties_celebrations/567452-pirate-party-on-saturday-need-some-advice
And this (shamelessly lifted from another thread)
www.coolest-kid-birthday-parties.com/kid-cakes.html#Ship03