Your nephews would probably enjoy going to Bandelier National Monument to see the cave dwellings, some of which they can climb up into on ladders. The main trail through the archaeological site is a little over a mile long - they can also take an additional trail (about 1/2 mile each way) to the Alcove House which is reached by climbing a series of ladders 140' above the valley floor. Bandelier is about an hour from Santa Fe.
http://www.nps.gov/band/ About a half hour further than Bandelier is the Valles Caldera National Preserve,
http://www.vallescaldera.gov/ If the kids are interested in science they could combine a trip to Bandelier with a visit to Los Alamos - the Bradbury Science Museum is very interesting.
http://www.lanl.gov/museum/ Another fun day trip for kids is to go up to the Taos Pueblo.
http://www.taospueblo.com/ There are also multiple places where they could go horseback riding and/or whitewater rafting.