There is a legal route. New Mexico has adopted the Uniform Child-Custody Jurisdiction and Enforcement Act, NMSA 40-10A. I think all the states have this, It requires NM courts to recognize and enforce a child-custody determination from another state.
Your Arkansas court order giving you custody of the kids in must be registered with the New Mexico District Court, preferably the one in the county where your ex is keeping the kids. Simultaneously you can file a petition for enforcement of the order and request a warrant for the cops to pick up the kids and deliver them to you. The process is laid out in Articles 2 and 3 of the statute I gave you above. You can find the statutes at http://www.conwaygreene.com/nmsu/lpext.dll?f=templates&fn=main-h.htm&2.0.
I suggest you get a New Mexico lawyer to help you with this. If you don't think the ex will run again you could call and ask him nicely to hand them over, but judging from your experience you may want to do it quickly and all at once so your ex is not alerted and takes off with the kids again.
