I filed a married joint return for 2008 on 1040NR and PA-40 before I realised my wife and children needed to get ITINs. I am here on an O-1 visa and my wife and children on O-3 visas. I do not need to make any other changes apart from alerting the IRS and Pennsylvania tax authorities that I now have their ITINs. I files 1040NR with the W-7 for my wife and children. Will the IRS and Pennsylvania Tax authorities be able to automatically make the transfer of their ITINs or will I need to file an amendment 1040x? Thank you.

If you attached W7 with your federal tax return, your federal return are OK.
For state also do nothing. They will contact you if needed.

Thank you very much for the prompt response. This is relieving to hear.