If you have been abused by him in the past or when this most recent event occurred where he took your children, I would call child services and report him. Also, it couldn't help to call the police and file a report. If you are fearful of him coming after you, let JSO know, it is their job to protect you, even if that means a restraining order or only supervised visits until the divorce is finalized and custody has been set.
Just make sure that Kaily knows that none of what is going on between you and her daddy is her fault. Let her know just how much you love her, try to avoid material things.
Another piece of advice I would give you is this: my church has a wonderful ministry to people who have had/experienced bad habits or situations, it is called Celebrate Recovery. You might want to consider just checking it out a time or two to see if it would help you. I would be willing to pick you up tomorrow if you would like to visit the church.
I will keep you in prayer and would love to hear back from you. Feel free to email me if you wish.
May God bless you in your time of need!