Goody bags are overated and often tossed soon after the party since the items are cheap. However, if you are concerned you might want to check Oriental Trader for some small sports balls, which would be fun for girls or boys. If the gym would allow them, super bounce balls would be a blast for the kids to play with during the party and take home too.
Kids usually get too much candy and sweets at parties, so maybe go with some sugar free gum from the Dollar Tree or chips or some other kind of snack. Some of the sugar free gums actually help break down sugar left on the teeth from sweets so that's a great treat to hand out at the end of the party. Have fun and don't put too much time or money into the goodies...it's the friendship and experience that counts!