If they are going to win prizes and have a treasure hunt, I would actually recommend have party bags - either just bags of some sort, or noodle boxes. Put their name on it with big black texta, and then get them to put their "loot" into their own bags when they win stuff. Keeps it all safe, and so much easier when it's time to go home and they are trying to find their bits and pieces that they won.
When we have had an entertainer, I've always scheduled them to arrive 30 minutes after the official party start time, to allow time for the kids to all arrive and settle. So you could put a table somewhere with noddle boxes, or brown paper bags, and a whole heap of stickers (pirate theme is pretty easy to find - those little pads of stickers, with pages of themed stickers), let them decorate their own bag and put their name on it. Gives them something to do while waiting for everyone to arrive.
Leave them all the table so the kids can put stuff in there after games etc. Keeps their stuff safe, not lost, and something to take home at the end. If you wanted you could throw in some little stuff at some point when the kids are occupied elsewhere ("There is stuff in there? Really? How did that get there? It must have been the fairies?")
Oh, and an alternative to helium balloons if you wanted ... I've got the punching balloons from the reject shop for a couple of parties. Big round balloons with an elastic loop on it for punching. The kids love them, and they last a bit better than the helium balloons.