First, the fact that you're in this position is terrible...I feel for you. The idea of leaving two small children who love you dearly has got to be incredibly difficult for you, which makes me feel that what is pushing you to want to CTB must be even more painful than the joy that they provide to you and you to them. Of course, I'm hoping that you don't do it and you find a way to stay in their lives. Of course, I'm hoping that you have exhausted all means of talking about your problems, seeking help, medication, whatever else may help you to continue living, if not for yourself, for them. With that said and to answer your question:
I would not tell them or drop hints. They are too young to understand or process. They will likely blame themselves in some way no matter what you do, so that's just something you will have to take with you when you leave. I would, however, leave a very detailed letter to your wife explaining EVERYTHING about your depression, feelings, what brought you to this place, etc. That way she will know where it came from and why. If she understands at all she will be better prepared to deal with what she will have to deal with when it comes to your daughters, both when it happens and ongoing.
Next, I would consider spending some time and leaving multiple letters and videos for each of your daughters. I know someone closely who lost her mother in this way and this is what her mother did and it helped her a great deal. She was angry as HELL when it happened, though, and she deleted all of the videos in a rage, but luckily her father had back-up's of the videos (so make sure to do that, copies of the letters too). I don't know what she would have done had she not been able to recover those videos, because now they are a constant comfort to her. So, her mother left her an initial video and letter, and then one for every birthday up until she was 21 (she was 15 at the time) and then for every milestone in her life - college, first job, marriage, kids or no kids, etc. She watched all the videos at once, which I heard most people do who have access to these things, but then she would actually watch them on the dates they were meant for as time went on.
So...you could either ask your wife to dole out the videos and letters at the appropriate times, or someone else who you trust to be there, or you could ask her to give them all to your daughters at a certain time and just keep copies in case they rage and destroy them. In any case, I think you should explain everything to them in videos/letters. Let them hear your voice and see your face explaining what brought you to the place you are and that it has NOTHING to do with them. Be honest and open.
Again, I hope you are able to find a way to stay with them, but if you aren't, leave them with something.