Clearly there is no easy answer to your situation -- everyone gets hurt regardless. I think that you need to think about what is in the best interest of the most people -- and specifically the kids. The police might come and take them away, but perhaps that is better for them, abusive households do no one any good.
Also, I think that you should try to think about your fiancé is someone you really want to be with -- given these abusive tendenies. In most situations, abuse only escalates without being dealt with -- without him dealing you might be setting yourself up for a worse situation, not better.
Good luck -- and I hope you are able to find some resolution.