The demonstrative Ille, Illa, Illud really should be taught as "that and those" more than simply "they/them." It's akin to teaching the 3rd entry of a word's dictionary definition.
Is the 'illi' essential for the sentence to work? Why not just 'sepulchrum visitant'?
In this case you use they to specifically mean those guys over there. Atleast that is what I believe. In vulgar latin it has become more common to simply mean they without an extra meaning of near or far.
That does sound agreeable to me, but I'm no expert. I could be wrong. Someone else would likely know better.