If you are crafty and can sew you could make small draw string bags for the girls that they could use for ballet class or going on an overnight. Put their initials or first name on them...I would do initials..I don't like the names on anything that they might take outside the home. For a party craft you could have them make something related to ballet like door hangers or pictureframes with the foam stickers, I know they used to have princess stickers, pretty close to ballet stuff. Then they take it home in their bags, if you want to put something in the bags I would not go with little items, maybe do a treat like individuals bags of fish or cheeze its or fruit snacks. Maybe a box of crayons and a coloring book. My daughter come home with a kite from a party one time...that was a good one!
For a game you could do a pin the tutu on the ballerina. How about freeze dance, play the ballet music from class and then have them dance like ballerinas, etc etc etc.
Good luck and have fun!