Pewit's Nest State Natural Area is a place that will definitely remind you of the Dells with the carved out sandstone along Skillet Creek. Just off of Hwy W, west of Hwy 12 in Baraboo, there is a small parking lot that fits maybe 20 cars at most. (that might be an overestimation) There is no parking allowed along the highway, so you face a fine if you can't fit in the lot.
There is a path leading you to the creek. As you walk along the path, you will come to a fork. To the left, you will take the path up a hill and up above and along the creek. To the right, you will take a shorter, flatter path to the end of the falls and right to the swimming area. After my experience, I would highly recommend taking the path to the left and following it all the way to the end where you will go downhill to the creek. From here, you can enter the creek and walk down through several small falls. My 6 & 7 year old kids joined us and thoroughly enjoyed the adventure. Once we got towards the end, the last two falls were a little too tall and the water too deep for them. But kids with better swimming ability and an adult to help them down the falls could go through all of the falls to the end. When we got as far as we could go with the littles, we walked back and took the trail back to the fork. We then brought the kids to the end of the falls where the swimming area was and let them enjoy more water.
My recommendation for your trip as far as attire and things to bring would be swimsuit and water shoes, don't bring anything extra that you don't want to get wet. Bring a waterproof camera, or use a waterproof case (as I did) for your DSLR. Between the trails and the rocks in the water, you can use the traction of the water shoes. I don't think we would have done as well with bare feet or flip flops. Although the cliffs along the river are quite high, as long as you watch your kids and keep them from the edge, it is a fairly safe walk.
Enjoy your trip! Feel free to comment here with your experience at Pewit's Nest! It's so gorgeous and truly worth the visit.
For more information: http://dnr.wi.gov/topic/lands/naturalareas/index.asp?sna=200