I'm from New Jersey, and my birthday's in January, so I had a LOT of ice skating parties, LOL!!
With a small group, I'd say go for it! Assume you're going to have to pay for each child's skate rental, and make sure the rink will have at LEAST one person to aid the kids who've never skated before (more is obviously better). Make sure the parents are aware of the rink's rules and regulations (like neither you or the rink is responsible for personal injury), and make sure the kids dress appropriately.
Here in VA, they usually have rooms for parties too, so you can bring a cake, and then have the food provided by the rink. I'd call around and see which rinks support group parties, compare prices, and have fun!! :)