This is a hard one, and I want to commend you for finding the strength to actually care about the well being of the "other woman". I don't think anything you say will change the way she feels about him right now though, considering that they just got engaged, she may think you are just trying to "break them up", and as sincere as you seem, and although your intent is to give her fair warning, this may not be the time for you to do so. If she did what any woman should do before commiting to a relationship, she should already know about his past, at least know that he is still married and has children, if she doesn't, than she shouldn't be engaged to him. Considering that your x will still be the father to the children, if she does marry him you will have more than enough opportunity in the future to share your opinions and family history with her then, do not take it upon yourself to "SAVE" her, if she is that naive, let someone else take the responsibility to bring the information to her attention.
If she comes to you, that's different, but share out of actual concern and not obligation.....
I hope you find the strength you need to conquer this ordeal and that your children continue to be nutured and you all live the lives dreams are made of and this is nothing more than an obstacle for all of you to overcome. I sincerely hope you one day find a man who will open his heart to you and your children and that your lives are lived 'HAPPILY EVER AFTER".....Congratulations on the new little angle, I'm sure he or she will be a GEM!