Do I need to set up individual Apple IDs for all my kids' iPads?
I strongly recommend you keep a separate ID for each person. When buying a song, for instance, you can share among 5 authorized devices. My computer, iPad, iPod, and iPhone make four. 
Now that my wife and daughter have iPhones, and daughter, a MacBook, I glad they have their own accounts. No crazy apps I don't know about clogging my devices. 
You want your own apple ID and iCloud. Really.

Edit - Using your Apple ID for Apple services will help clarify the iTunes vs iCloud ID usage.