It's horrible when the children say that, makes you feel awful.... but they will be ok. It must be more scary for them leaving everything they know behind - maybe do some image searches on Google as well to show some nice pictures of beaches, koalas, kangaroos and sunshine! Don't worry though- they will love it. My 6 year old was worst for saying things like that - and she has well and truly settled here, having fun at school with lots of new friends.
I had some story books by Steve Parish, cant remember the titles offhand but they were just nice little stories to read at bedtime, and the pictures in the books were photos of proper places and animals instead of drawings..
Just found this for you http://www.steveparish.com.au/ if it's of interest.
Hope that helps a bit.
Hazel.