Tom3m is right. If "Lanterns" is the name of a game then you don't need "with". However, if you are simply trying to say that the children use various lanterns to play with, then you need "with".
I play poker (card game).
It is dangerous for children to play with a poker.
The children play doctors and nurses. (In the UK, this is the name of a game where children pretend to be members of the medical profession. Some people would write it as "Doctors and Nurses".)
Don't play with the doctors and nurses. They are very serious people. (Note, this is a rather silly example!)