Although my TN expires in about 2 weeks; I lost my job about 70days ago and
Have been hoping that I land a new job so I can apply for a new TN visa.

As this has not happened yet, I am considering changing my status (and that
Of my kids) to a TD (dependent on my spouse who currently holds a TN that
Is valid for almost another year); in other to do this:

Do we all have to go to the nearest border crossing or is this something we
Can do without me me/us having to leave the US?
Does it matter which of the bother crossings we choose to go? Some say it
Is more favorable if we visited the bother crossings closer to Canada since
We are Canadians?
Would this jeopardise my chances of future TN visas if I change to a TD and
Is there anything we need to do to insure that the TD application is
Successful?
What other options may be available to me if changing from TN to TD is not
The best route for me/my children?

You can do a COS with the USCIS or you can present at any Class A POE. Be sure that you do when the "Free Trade" or NAFTA officer is on duty if it is a smaller POE. Bring your marriage certificate and evidence of your spouses TN status. You can call the post, maybe even talk to the Port Director (or more likely, the Deputy Port Director) directly.

TD status will not prejudice subsequent TN petitions other than the total amount of time in TN/TD showing immigrant intent.

I trust this is responsive to your inquiry.