I have been on OPT my wife and sone have been with me throughout. They do not have SSN, do I file jointly and claim them as dependents.
We are from Egypt.

Sorry, but F-1 visa holders are non-resident aliens and CANNOT file a joint return for 2012 UNLESS they arrived in the U.S. in 2006 or earlier, in which case your five-year exemption as a F-1 visaholder has expired and you are considered to be a resident alien for tax purposes.

I assume that you are a F1 visa holder, then, you are exempt from paying FICA Taxes for five years. However, you are subjected to federal taxes, and state/local taxes, if applicable, students on F-1 filing their (federal) income taxes who have been in the USA for 5 years or less need to use the correct tax forms, such as 1040NR or 1040NR-EZ.Once you become a US resident for tax purposes, then you can file your return aas MFJ/MFS.