So, first understand words mean things. You say, "We have three children...". For K2 visas, they must be HER natural children. If YOU are the father, that changes everything. Please clarify.
Assuming you are not the father of any of these children, you wait for the I-129F to be approved and to hear from Manila. Then yes, each person seeking a visa will need a visa application. That's what the DS160 is. Adding them to the petition opens a door to them all to apply for visas. Each will need a medical exam and maybe some vaccinations. None of that can be done until the visa applications and fees have been submitted.
Since everybody will be in Manila, you can bring all to the interview, but even the 15 year old may not be asked any questions. Note also that each will need their own supporting documents, such as birth certificates. Only your fiancee needs an NBI report unless the 15 year old becomes 16 before the interview.