Do you mean the Olympia Christmas show or HOYS at the NEC Birmingham, they aren't the same? Assuming you mean Olympia Christmas show, I think that would be brilliant, really fun show for all the family and particularly for pony mad kids. I'd try to go for an afternoon where there's a kids showjumping class as that's great for them to see plus of course the Shetland pony grand national, dog agility, loads of great shopping and Santa's parade!
Tips wise, I would personally much prefer to take the train as traffic around there can be bad and parking difficult, but I guess it depends a bit which side of London you are coming in on as to how complicated the journey will be, if it's lots of changes on the tube and you need to bring a buggy that might swing it in the other direction. If you are going to drive I'd look at justpark, parking bee or a similar website to find and book the best value parking, do not just turn up and drive around looking for a space as you will end up either parked miles away or paying £££ for a multi storey! Plus make sure you allow lots of contingency time to avoid stress.
How old are your DDs and are they good travellers generally? We always walk from West Kensington tube which is on the District line and an easy ish 10-15 minute walk away rather than using Kensington Olympia which is closer but overground only, but depending on which mainline station you come into it might be better for you.
There are lots and lots of exciting food options at Olympia (food market style with lots of separate stalls) but be aware that they can be quite pricey and there can be long queues particularly for the ones that appeal to kids, plus places to sit and eat are limited (you see lots of families just sat on the floor), so I think I would be tempted to pack a fairly substantial picnic breakfast/brunch for the train (good way to keep them entertained too) and then perhaps (depending on how tired they are and how quickly you want to get home) a McDonalds or other fast food after for dinner. Then if they want they can spend some pocket money on 'treats' from the stands (there are sweet carts and ice cream, dessert type stalls) but I'd try to avoid getting a whole meal at the venue as with 3 DDs there are bound to be differences in opinion of who wants what and you are liable to spend your whole break time waiting, finding somewhere suitable to sit and then be rushed to actually eat the food. Depending on how tight security is you may not be allowed to bring your own food into the venue at all and certainly you won't be allowed to eat in the main hall/during the show...
I would also make sure you decide in advance what your attitude to shopping will be as the stalls are brilliant, every pony item and toy you can think of under the sun and your DDs are guaranteed to see things they like - are they allowed to bring pocket money/savings to spend or will you buy them a Christmas present each or do you want to avoid the shopping bit altogether to avoid meltdowns - it is possible (just about) to avoid the shopping but you do often end up walking through it to get to the main hall to be aware! If you do want to do shopping your ticket gets you in from 10am for an afternoon show start time of 12.40 so plenty of time!