Some websites that might be useful for you, guys:

http://www.netherlands-embassy.ru

http://www.amnesty.org/

My advice would be: start saving money by working and try to find out what countries will take you up as new citizens. You can't just cross borders and think: "now that we are in the Netherlands (or any other country) we will be fine." You'll have to find a job here, you will have to become registered citizens. If you ask for amnesty you might spend years in a refugee centre, not knowing if you will be allowed to become a Dutch citizen. This might take up to five years and after all the trouble you've went through then, they might send you back to Russia if the political climate has changed, or if officials here judge that you are not in a life threatening situation back there. If you really want to come and live here it's possible: but it will never be easy and it will take a lot of hard, long work and a good deal of money.

What about your families? Is getting married that important to you both that you are willing to leave them behind?

As Neal said, there are more countries that have a legal status for gay couples like Danmark, Spain, UK, Canada and Belgium.

I suppose you both have got an education and some diploma's?
First look at what you have right now, try to build the solution on a solid base, not on some potential financial gifts from others.

To get a working permit you will need an invitation of a Dutch company, so try to find a company that fits your educations or other skills and write them for possible job vacancies. This will be hard though!Also, learn the local language!!!

On a last note I want to point out to you that although the situation for gay people here in the Netherlands is far better then in Russia it's still not a paradise. Discrimination still exsists even here!