I use the "Teach me to Sew" books by Mulligan and Smith. They have pages you can copy and let the kids actually sew on the paper without thread to learn steering. The books also have some fun projects, but I also start them on pillow cases. That way they can actually sleep on the fruits of their labors that same night.
For each pillow case you need:
3/4 yard of main fabric
2 inches of accent fabric
1/4 yard of flap part
Allowing the kids to chose own fabric is part of the fun. I also start them with no thread and lined looseleaf paper. They need to be able to follow lines to get a feel for how the machine works. I have found that little boys just step on the gas and go for it. The girls take more care and are a bit cautious. The books I mentioned also have mazes and games. This gives them confidence with forward, backwards, turning etc.