I believe when you file your H1B application, you should also include your spouse's and child's applications so that their status can be changed to H4 as well.  If they were outside of the US, then yes, their applications could be filed later.  Since they are in the US with you, their applications need to be filed with yours.

I am not in legal profession, so be sure to verify what I said above.  You could probably google immigration related sites for better perspective.

Hope this helps.