I find the Soviet idea of Math Circles so interesting and important. I bought books on the subject, but it's difficult to implement for your own children only. Nothing beats it like having an actual one, run by math teachers and in your city.

Absolutely. Key for me was to invite children's friends (and family) along, host it in our house and make it a recurring weekly thing. The books (presumably you also have these from the MSRI's 'Mathematical Circles Library') are great, but week-to-week I've found the free online NRICH resources much more directly useful: https://nrich.maths.org/about-nrich