How about a little at home gold mining?! This always seems to be a fun activity for kids. Dirt, water and gold, what's not to love?!
This is such a fun activity for kids - if you're doing it at a party you could even have them pay for goodie bag items with their gold!
You could set up a whole play mining town for your Cowboy week or party as well like this party at Hostess with the Mostess