Another vote of sympathy here.
Harsh as it may seem you need to get angry and make lists before you confront him, we have seen all too often on MN how the ex, once confronted, can behave appallingly about money, so awful as it is to have to wait, take a few deep breaths and make a plan. Here's just a few thoughts.
Do you both own the house? How long have you been married? This will impact on how easy it is to get a settlement. Get copies of as many documents as you can, savings accounts , mortgage statements, shares etc anything that proves his income too, contracts, payslips etc. If neccesary leave them with a friend/relative
Do you have your own bank account? Make sure you take some money from it (no more than half) towards future day to day expenses for you & the kids. Set up or use youur own one asap.
Silly things like are you/ the DC's alright for shoes, winter coats etc? All things you would probably have been thinking about over the next few months, try & organise soon before you tell him. Stock up the larder.
WRT the locks technically no you are not allowed to change the locks. But once he has left, even if only for the day, you can add a bolt to the front door (& go out the back if he has no back door key) OR as one poster did on here once say you have lost your keys and needed to get the locks changed for your security 
then say of course you will be getting a second set cut but keep forgetting. 
(I would hold that in reserve for if he really gets arsey though, no point in getting confrontational from the off. )
I do feel for you, it is awful but you WILL get through it but you need to be strong for a while, allow yourself wobbly moments but draw strength from your anger...you deserve better!