It sounds like they would definitely benefit from more structured time. It can be really hard to do, but once the habits are in place they will behave better.
Make a schedule out for them, you can even find magnetic charts that are helpful (we got ours at a local teacher store).
When they were little (ages of yours) it was fairly simple things.
TV time (30 minutes)
Outside time ( 1 hour)
Reading and Snack time (30 min)
And do the whole day like that for each thing they do well they get a star, when they get stars for the whole day they get a reward. (I kept a basket full of happy meal toys, and stuff from the dollar store, and Ice cream was a reward too).
This allows them to self recognize their good behavior, it also is positive reinforcement from you. It's a lot easier to get the smart kids to behave with rewards instead of punishments.
Your post from this morning reminded me of the chaos we had in our house... When they were 3&5 I actually caught them playing on the roof (farm style house with porches all the way around roof has a very slight pitch and they could go out their bedroom windows). So yes it was still a very big challenge with them, but for the most part they were happy, and I stayed sane.