I was in the grocery store and my 3 year old blurted out, "Mommy, why is that lady so round?" I was mortified.
Oh man, kids can be terrible about things like that.  They just have no filter.  What did you do?
I just peeked back at the lady and I couldn't tell if she had heard or not but she was fairly close.  I know, usually I can catch them before they say something but not this time.  I just said loudly, "Honey, don't say things like that."
Well, that's the best you can do, is teach them what's appropriate and what isn't.  I think you handled it well.