:confused:Hi... I've been working under an F1 Visa since August 2008. At the time I thought my 3 children were joining me here in the United States but there was a delayed and they are finally coming this month December. However, my pay stubs says withholding 3. Am I going to get in trouble for that? Would I be able to claim them on my taxes? What happens if in the meantime I change my status from F1 to H1? Thank you for your advice..

On F1, you are exempt from residency for 5-years. You must file non-resident tax return. You can not claim dependents on your tax return unless allowed by tax treaty between the U.S. and your country.
On H1-B, if you meet substantial Presence Test, then you can file resident tax return and claim dependents. Dependent children must have valid SSN.
Read about F1 tax filing: Your U.S. Tax Return: The U.S. Visas

In order to claim children as dependents on a resident return, the children must be physically located within the U.S. for at least part of the calendar year. If they are outside of the U.S. for all of the calendar year, you CANNOT claim them.