Tell them, in proportion. Children who are told nothing invent something worse, and they notice the adults are frightened. What reassures a child is not the absence of a problem: it is knowing the adults have a plan and that they are in it.
What to say. That sometimes there is an emergency; that we have a plan; that the plan is here is where we meet, here is who collects you, here is the number. Facts, briefly, in their language, and then ordinary life.
Let them ask, and answer honestly. "I do not know" is a fine answer. "I do not know, and here is who we would ask" is better.
A card in the bag with their name, a parent's name and the contact number, so an adult who finds them can act.
In the bag itself: one familiar thing. A toy, a book, a blanket. It is not sentimentality — a known object measurably settles a frightened child, and a settled child is safer.
Tell the school who may collect them. Do it before you need it; a school will not release a child to somebody who is not on the list, correctly.