If you are a supervisor, how do you handle your team members’ questions and needs during deep work sessions?

If you have been chosen for this job, so you're qualified for this position.
Put yourself in their shoes. And know that they need you and you have to be worthy. You have to worth your position and worth the trust.

If it’s really important I stop my job to help, but if not I ask to wait a little bit because I’m at middle of something. Another strategy is work way from them

I will be honest with you on this one and tell you that I do not know.
Have you read Cal Newport’s Deep Work?
I recently had similiar situation myself, and have decided that at certain time of day I will have a deep work session and will not see or allow notifications or in person questions by anyone at that time.

I was very strict with that rule and tried to clearly communicate it to my colleagues.

Very soon it fell short since not only did everyone including my boss have urgent questions, but I have realized if you do not answer or provide information at that time other members of the team will not be able to finish their tasks until my deep work session (usually 2-3 hrs per day) was over.

I came to conclusion that my position does not allow me to not be at disposal to my coworkers at all times.

I hope that maybe you have a job where you can do such thing, take time for YOUR work and that you will not feel guilty for taking that time.
Wish you all the best.

It depends on what the want or need is. Gauge the importance of it, if it is important than it needs to be addressed accordingly. If it is something that can wait, politely tell them you will deal with it when you are finished with your current tasks. Make notes about who is asking and what they are asking so in the future you can try to mitigate the number of interruptions. That can show you a trend of what is going on that needs to be addressed.