H.W.
As a former nanny, this is my suggestion:
The best thing you could do to prepare your kids is to get into the rhythm of an established routine now, one that your au pair can follow with, and which honors your children's biological needs, first and foremost. Having daily rhythms around breakfast, snacktime, lunch, afternoon snacktime, naps/quiet time, bathing and some outside time is very helpful, so that the days feel more predictable for everyone. Since they are transitioning out of care, consider what the schedule is at daycare presently, and also consider asking the daycare provider who your girls play well with, and see if connections can be made so that playdates, if desired, can continue.
As a family for that first week, I would steer clear of the bigger attractions and focus on the 'everyday' sorts of activities. Show your au pair around the neighborhood park, pointing out places where your kids like to hide or potential trouble spots. (Some parks have features which are too high, or places where kid get stuck, so she can be prepared.) Get her to the library, and get both she and your oldest daughter library cards (this will really help, so that she can check out books for the girls as well as herself). Library storytime will also help your girls stay fresh in practicing being in a group, stimulated with the stories, songs and fingerplays, and your au pair can get some ideas for stories and songs. (the librarian often has sheets of songs and rhymes available upon request). Acquaint the au pair with your children's world as much as you can. Take a moment to introduce her to the neighbors, too, and point her toward the nearest coffeehouse and inexpensive entertainment/restaurants, so that she has some options on her down time besides being home in her room.
I'd also show her any specific things she needs to know. Even if your au pair is experienced, don't be afraid to run through with her the things that are important to you. Do you like the floor swept after messy meals? Tell her. Some people might not be bothered if a child has food on their face, and so you will need to spell things out a bit.
Make sure to have the daily routines, preferences (esp. regarding things like Media and playmates or hygiene) and other information, including phone numbers, printed and in one area, where it's easy to see. Also consider making a chart or log for feedings/diaper changes and naps, so that you can see what your children's day is like. This can help with communication.
Other than this, what Meaghan suggested is great: have a picture of the au pair (don't call her that in front of them, btw, just use her first name or Miss So and So) for the girls to see and tell them very simply what to expect. If she's going to be living there, be sure to start treating her room as a 'knock first' room for practice. I think keeping it light and fun and not giving it too much attention until it's happening is the best way to go about it. Too often, parents sweat 'preparing' their kids so much, that the children begin to feel anxious. So once you've introduced the information, let the kid bring it up on their own. It'll just happen how it happens! Good luck!
H.