All three are correct.
孩子们拉着手走出校门。 ---------- You are telling about a scene, in a progressive aspect . As you know, there is in this description no time/tense information, which will be revealed by the specific context.
孩子们拉着手走出校门去。------ practicaly all the same as the above one, only adding a little more meaning of the direction/tendency of the motion.
孩子们拉着手走出校门去了。---------- by 了，you're giving a meaning of the past time.