If you're coming from Chicago perhaps you'd want to consider something closer to you if you're going to be indoors since it's not summer and budget wise you aren't interested necessarily in going big, also with the kids ages to consider. My recommendation would be to try something closer. Lake Geneva would be a good option, also Milwaukee as you're close to many activities including the wonderful Betty Brinn Children's museum and The Domes! Pricewise I don't know how much savings or not but definitely less car driving and gas cost. travelwisconsin.com/attractions/waterparks-p…
from the article and my suggestions would be these below as well then based on your post specifics:
"If you're looking for a more urban family getaway, consider the Milwaukee Hilton’s Paradise Landing indoor water park. The 20,000 sq. ft. facility features a three-story Jamaican village theme with four water slides and an idyllic lagoon. Plus, you’re in the middle of the city’s many family attractio ns – th e zoo, the museums, cosmo shopping and dining. In nearby Waukesha, The Country Springs Hotel and Water Park is a great choice: think two-and-a-half football fields of indoor water fun - including their signature Body Flume waterslide - will keep the kids active and happy.
Another exciting indoor water park destination is Moose Mountain Falls on the grounds of the Grand Geneva Resort & Spa at Timber Ridge Lodge in Lake Geneva. Complete with 30,000 square feet of indoor fun, the water park has two waterslides, a lazy river, splash pools filled with interactive water features, and a large whirlpool.
So c’mon, get wet – it’s Wisconsin’s way of having fun!"
If you're wanting to remain in the Dells then I would say a smaller places suits fine for now for ages. We love the offerings of the Dells in the summer and you can find ways to enjoy cheaper--take in Noah's Ark (great coupons), deer park, the rail dog, Riverside and Great Northern Railway and much much more.
Edited: 12:22 pm, February 09, 2013