Glad you started your own thread - FLTC may come back and wonder what happened.
Gineen has the right idea. Just continue as always but if she wants something changed - let her do to legal stuff and pay for it. Consult your lawyer ONLY if she does not give you the kids as stated in your agreement.
Now that you have found the agreement - print it out and carry a copy with you. Show her a copy if and when she pulls this stunt.
Keep the "drama" out of the equation. The stuff about the gun. Sometimes kids minds run free. It was probably not good to bring it up to her - drawing attention to it. Just react with appropriate authority (police) IF a real (not perceived) volatile or dangerous situation occurs.
If she took your son to counselling - that is a good thing. You can also do the same so that he has joint counselling with you. And talk to your kids. About how much you love them and enjoy having them with you on your weeks and how time with fiancee will NOT take away from time with them. Does it? Or do they feel they play "second fiddle" to her. Be honest. I'm not saying you're not entitled to marry someone new but be sure you always are mindful of the kids and their feelings.
And as AJM points out - sometimes we DO make sacrifices for our kids. If they TRULY want to live with their Mom (and they tell you that - not being "coached" by her) - maybe that will ultimately be what is best.
Good luck with this. It is NOT an easy situation at all. Just be cautious about pointing out her "craziness" to the kids or making too much out of your son's comment. If you go too far - that in itself might alienate the kids.