Use this stuff:http://goophandcleaner.com/
We've got an uncooperative oil stove for heat, so I'm well acquainted with getting soot off myself, and other items. Using that Goop, I've gotten soot off skin, clothing, plastic, metal, etc., so I see no reason why it wouldn't work beautifully on toys as well.
As long as the soot smudging is minimal, you could probably paint over it with no problems. However, If there are any relatively large soot particles, they'll probably get stuck in the paint and create little bumps. Lighter color paints, especially white, might become tinted by the soot as well.