I agree to just NOT do the gift bags. Let them make a craft perhaps, and that's what they can take home if you want them to go home with something.
A pool party - you wouldn't need much more entertainment. Perhaps their 'take home' could be some adorable colorful flip flops. Old Navy 2 for $5. Get bandanas or silk flowers and let the girls decorate their flip flops (hot glue for the flowers, tear the bandanas into strips and tie a lot of small knots on the foot strap - google it you'll see what I mean).
Or have 'night at the movies' theme. Sleepover, movie, the invitations could look like a movie ticket. In this case, have each girl invite maybe two or three friends? Make popcorn, each girl can have her own topping choice (butter, cheese sprinkles, caramel, etc. There are TONS of weird recipes out there). During the evening, you could paint each girl's toenails whatever color they like.
Have fun. Be creative. Ask your girls what they'd prefer to do!