I don't think it is all that odd for grandparents to ask for one grandkid at a time. There is a reason grandparents are glad to be grandparents rather than parents; they've done their time and can now take the kids one at a time and hand them back to the parents.

I would simply remind the grandparents of what their usual routine is and how you prefer to handle discipline issues (positive discipline techniques). Most likely there will be no problems; kids tend to be much better behaved and easier handle one at a time and away from their parents.