I have a lot of experience with your situation and have run into similar problems. I've had success with just saying "Yes" to pretty much everything they want and adapting the challenge to that level. That led to a game of dimension hopping and a fistfight with the Devil and the characters escaping into the real world where the players are and an evil Santa...

If that seems like a problem to you the other way is to strictly enforce the rules and treat them like adults. That can be incredibly fun, but you have to use the right system. Savage Worlds is a fine system for some things, but the actual core mechanics are a little boring. There's just not that much exciting about +2 modifiers. People say Savage World is "Fast Furious Fun" but in a lot of situations it's... kinda meh as a series of mechanics.

I've found that OSR games with really fast resolution mechanics fit in really way. So do games that are Powered by the Apocalypse. It's probably too late for you to make changes to the system at this point, but if you ever start a new campaign try and pick something that has very little pause in between "I want to do something" ..... "I roll dice" ..... "Something happens."