I loathe gift bags!! Don't worry about it. Maybe they can make a little foamie craft or something as part of teh party activity, and that can be their take home thank you gift.
Last year, I bought mini playdoughs, there was like a package of 10 for $2. I tied them individually in cute ribbon and handed them out as a thank you favor. Party favors for 10 kids was less than 3 bucks, and they loved it. You could even do that with those mini bubbles, or just like a little baggie with a cookie or some popped popcorn in it.