If it were me I'd say use the airport transit system train to all go to the station at one terminal, probably 3, as that is closest to the road leading out of the airport. (Well, 5 is really closest, but it can get a bit hairy outside the int'l terminal with all the meeting and greeting going on.)
Your other option is to take the CTA Blue Line train to Grand Avenue or the Loop and pick up a cab there. The CTA station is under the central parking garage, A. Taking CTA from the airports in Chicago can often be much faster for getting to the center city; cabs sometimes get bogged down in traffic on the interstates (the train is 45 minutes, a cab can take anywhere from 25 -90 minutes depending on traffic. If you've got a smartphone it might pay to check out the traffic report for the Kennedy Expressway before you decide for sure.) Of course, if you're headed to somewhere in the suburbs, CTA probably won't be the best option.