They of course do no such thing, and by the end of Uncanny #212 they are missing, presumed incinerated. What happened to them?
Well, Karma tried to call her siblings at their Manhattan flat, and they didn't pick up. This is worrying. Magik and her check it out, only to be greeted by an exploding bomb (which is taken to by the Marauders, although I don't think there's any actual evidence). When they don't return, the other New Mutants go looking for them, via that Manhattan-Westchester tunnel. They go straight to Karma's, skipping any Morlock interludes, and find the fire brigade attending a burning apartment building and Xi'an and Illyana safe and sound. No sign of the younglings, though.
Then Warlock goes a bit crazy and Magus turns up, which is possibly not the best timing ever. Happily, there's a 'porter on the team, so they all wake up in Limbo. Wait, did I say happily?
This is possibly the longest extended time that the non-Russian members of gang have spent in Limbo, and it is not to their liking, especially as Bobby and Amara's elemental powers don't work very well there. And worse, they're not even safe: Magus breaks through the dimensional barrier, somehow. So they 'port randomly away again. This time to somewhere in Europe during the Scottish War of Indepenence, where they do the superhero fight-truce-teamup thing, only with Robert the Bruce. Which is at the very least novel.
Meanwhile back at the mansion (there should be an HTML entity for that, I have decided), Moira is worrying about the kids (particularly Rahne) still being missing, in between moments caring for injured X-Men and Morlocks. Magneto makes sure she eats properly, possibly the most leaderlike thing he's done in 23 years. But no action is taken by anyone. I suppose Cerebro isn't what it used to be.