Looking at the datasheet now, the CLKOUT pin gives you an Fosc/4 oscillator output. Perhaps then the simplest solution would be to keep the internal oscillator on one chip, and feed this signal to the other three micros in external clock mode. Obviously the slaves would need to have their delays reduced accordingly.
Failing that, you can rewrite your delay routines to use some sort of synchronisation signal using GPIOs as others have said, or, if you are using timer interrupts, place them in counter mode and connect the appropriate input pin to CLKOUT on one of the chips. This has the advantage over clocking the micros on CLKOUT of allowing them all to operate at the internal oscillator frequency, and with the same time delays.