True, if you sponsor them, they may not be able to retain their student status or even obtain visitors visas to the US.
(213) 394-4554 x0 Mr. Shusterman is a former INS Trial Attorney (1976-82) with over 35 years of immigration experience. His response to your question is general in nature, as not all the facts are known to him. You should retain an attorney experienced in immigration law to review all the facts in your case in order to receive advice specific to your case. Mr. Shusterman's statement above does not create an attorney/client relationship.
Perhaps its better to utilze their own route, i.e. F-1, then OPT, then hopefully H-1B. Then you can sponsor them for their I-130 since the H-1B employement visa is a dual intent visa, meaning they can have your I-130 application pending but also their own independent H-1B status with an employer. If comprehensive immigration reform ever happens, who knows they may add more immigrant visas in category F-4 instead of taking 10-15-20 years it may only take 1-3-5 years instead. In the meantime who knows their employers may be inclined to sponsor them for their green cards through employment and see which becomes current more quickly your I-130 or their PERM, I-140, I-485 applications.