You all can appear together (child may be eligible for interview waiver) for the stamping. There is no separate approval for dependents. Pay fees for each individual, fill DS-160 form for each, schedule interview w/ family option, appear for biometrics and appear for stamping.
I forgot what the cut-off date for children is. You can search it online.
You will need 797, I-129 copy, LCA copy, employment letter, job duties description, passports, marriage certificate, wedding card/album. Check w/ employer what else did they submit to USCIS for the petition processing. How big is the employer?