We started teaching our daughters very young that our room is our sanctuary. I'm sorry, but, I believe that parents need their space, and, that children should respect it. Our children are not allowed in our room even to just pop in. Every now and then, I will call them in there, or, there might be an "emergency" while I am in the shower. Other than that though, our room is our room, and, their rooms are their rooms. Same goes for our bathroom. They better have a pretty good reason to be coming in our room!!!
Anyway, I agree to just keep taking them back to their beds. Don't wait for them to get in the bed and get cozy. As soon as you see or hear them / one of them coming in your room, turn them around and walk them back to their bed. (You should not be carrying them if you are, especially when you are tired!). Talk to them before they go to bed and explain that if they wake up, they need to go back to sleep. Heck, our daughter fell asleep EARLY last night, and, it was on the couch. We decided to just let her lay their as she seemed pooped. Anyway, I heard something and looked out in the middle of the night, and, she was walking to her bed.
So, trust me, they will eventually get the hang of it, and know not to come into M. & daddy's bed / room anymore if that is what you want.
This is also coming from someone who kept her babies in her room with her until they were a year old! So, I know it can be done, it just takes repitition!
Just wanted to add - I have a friend that did the sleep on the floor thing, and, now she has a 4 yr. old that refuses to have ANYTHING to do with her own room now. So, I don't think that works for everyone, and, you definitely can't have any privacy if they are still in the room with you. I also have another friend who did not break this habit, and, she has a 10 yr. old that she can't get out of her bed now. So, don't think it will "just end" on its own if you don't do anything about it!! It might for some, but, it is even harder for some the longer you wait to get them out.