First and foremost - get an attorney! Obviously, all states differ when it comes to family law and only an attorney in that state will be able to give you reliable specifics. You are talking about your children here - don't just take advice and guesses and hope that you are doing the right thing.
In most states, it is illegal for you to move your children out of state without your husband's approval - even then, it should be in writing and on file in a courthouse.
Again, in most states, it takes at least 6 months you for to establish residency for you and your children in a new state. Once residency is established, then and only then can you file your case in that state.
Two things can happen to you and your children right now. 1) Your husband could simply pick the children up from school or daycare and take them home with him - and NOT bring them back and has every right to do so. Or 2) he can file with the court (in his state and still the state of residency of the children) and a Judge WILL order you to bring the children back.
Be careful, things like this can spiral out of control very fast and get very, very ugly.
Good luck, and again, get an attorney.
-CJones