Lily and James have all that time to write long letters but don't bother to actually escape? Obviously the future seen can be changed or they wouldn't be insisting that the Longbottoms be guarded.
Now I can see that, possibly, they could feel it's best for Voldemort to be 'killed' (even if temporarily) but even if so why would they both have to die? Personally I think they would be living under false names in muggle Australia before the day is out after getting the vision.