From a very young age, as soon as a child can understand speach, they should come to know that God loves us and what He expects of us. You dont have to go into a sermon about it. Just tell them Jesus is happy when you do this, or Jesus will feel sad if you do that. Keep it simple.

Pro 22:6 Train up a child in the way he should go: and when he is old, he will not depart from it.