In the movie, Theoden realises that now Saruman has lost control of him, he will attack. Their fighting past has proved that Helm's Deep has a) places to hide for the women and children, and b) a better defence rate than Edoras (even though it's on a huge hill, it's made of straw, essentially.. easily burnt down, I should wonder) So logic dictates that they go to Helm's Deep. And they have to take the innocents with them.. again, it's common sense. There's places to hide, plus you wouldn't exactly leave them on their own, defenceless, in an arsonist's dream (Edoras), would you?
And ow I'm just reiterating what ^^^ said perfectly well..
