We've done a few different "pledge projects" in my professional fraternity:
We've done ty-dying with the bigs and littles. The pledge class designed the shirts, ordered them, set up the tydye, etc. It was fun, but messy so be careful!
We've done a sports day where we all go to a park and play different sports. Teams can be split up anyway you like (bigs vs. littles, family A vs. family B, etc). At the end of the day the pledges gave everyone a small nerf-like football with their name on it as a keepsake.
Something else fun is to make a giant banner for the new pledge class (or bigs and littles). You can come up with a cute slogan, or even just a standard "XYZ pledge class '09" you can decorate it in your colors or symbols etc and have everyone sign it. Do this early in the semester, so you can display the banner for your events (big/little reveal, your pledge party, and possible for after their initiation).
One last suggestion that can be really fun. Have the girls make pin boxes for their sister's pins (or their own if you're comfortable letting them do that). You can buy small cardboard boxes really cheap at craft stores (I think around 50 cents at michaels). Decorate them with paint, ribbons, rhinestones, glitter, and anything else you can think of! It's a great keepsake to display, plus you'll never lose track of your pin
Sorry this got to be a little long, but I just wanted to give you all the suggestions I had! I know how it can be when you're looking for that perfect idea.