Preschool teachers have ways to deal with this - they have very scheduled days, and certain times that are clean-up times. Of course, they're not also trying to do laundry, grocery shop and vacuum. ;o)
The thing you need to remember about kids is that they need to be told everything about a thousand times. Then you have to re-tell them and then repeat it again. It's not personal - it's just how they are.
Kids like routine - so liek the preschool teahcer you have to plan out a typical day - let them mess up the living room in the morning and when you begin to prepare lunch put on special cleaning up music and a time. Try to beat your previous day's time each day. (don't make it a competition against eachother but against their own personal previous best) When I remember to use them timers are an amazing tool - they're good for bedtime preparation too. (I used to race my kids to see if they or I could get PJ's on more quickly - I frequently lost - I'm older, slower and more tired!)
Then do the same in the afternoon - something like "daddy's coming home soon, let clean up" - put the timer on again - and/or clean up song.
Do not beat yourself up for losing your cool with the kids. I don't think there's a mom of preschoolers that hasn't lost it - kids are so all-consuming at this age that they just suck the life out of their mamas. Thankfully Spring is here. Get them in jeckets and get a wagon and go for a walk, go to the playground, let them mess up the park.
Finally cut your self some slack. We all want a neat house - then we have kids. It's doesn't get a lot better as they get older either. School papers, dozens and dozens of them begin coming home when they get to kindergarten. Then comes sports equipment. If you have girls then come make-up, shoes and hair stuff when the teen years come. Ipods, computers, backpacks, cleats, hats, the list goes on.
I'm told that once they grow up and move out you suddenly have this hosue that stays neat and clean - but you miss them terribly. I can see those days coming so I'm trying to tolerate and, yes, even enjoy the ipods, computers, baseball gloves & shoes. ;o) If the next ten years go as quickly as the last 15 did it I'll have a quiet and neat house before I know it. :o(