Baking is a fun and educational activity that covers multiple skill sets! I've also found messy play with different foods can have some great sensory benefits. For instance, letting them play with cooked spaghetti or slimy banana mash helps with touch and sensation exploration.
For containing the mess, aprons and splat mats are your friends! Also, setting up a designated 'mess zone' that's easy to clean will contain the mayhem somewhat. Perhaps a plastic tablecloth or a tarp laid out on the floor with a pile of wet wipes at hand?
Some other ideas that have worked for us are Oobleck which is satisfyingly squidgy and also edible, and painting with yoghurt or whipped cream! You could also let them explore fruits and veggies in a sensory bin - a contained space where they can sort, squeeze and generally muck around with produce is always a hit in our house.
If anyone's brave enough to attempt cooking with toddlers, simple pizza making is fun and somewhat wholesome! Also, freezing small portions of puree or juice into little trays makes for a fun icy pole sensory experience that ends with a tasty treat.