In reply to AlH:
Would concur with Al - keep them moving and keep it fun. v.small craggy outcrops with a short (I have a five metre section) of rope and a good braced stance at the top. Has also the advantage you can "play climbing" anywhere (at the beach, on a walk, at a picnic, anything) by sticking the harness and short rope in the rucksack.
My daughter is the same age as Heike's little boy, but she doesn't have the patience to "go cragging", so we have to keep it fun and constantly "on the go". Plus, I've usually got my daughter's little brother in the child carrier on my back so I have to walk round to the top of the "mountain" first before flicking the rope around and "belaying" her up. Seems to work. Found her climbing the stairs using a banana as an ice axe this week...