Yeah, just make it fun and easy for them. That sounds redundant, but that's all there is to it. Let them go to a CM and see if they like something they want to trade for. You'll find that CMs make walk up to them at times. Tell them it's OK to say no if they don't see anything they want to trade for...not that the CMs pressure them, they certainly don't, but sometimes the child may feel like they have to trade. My oldest started getting too wrapped up in it and trying to figure out what was a "rare" or "valuable" pin. I reeled him back in and told him to just collect what he likes. We're not in this for anything other than fun.
Be careful and make sure they put them on the backs properly. The backs do a decent job of holding the pins, but it's not all that hard to have one fall off, or not stick it on properly. The hole also can get big if you take it off and on a lot, so either make a new hole or throw the back out. They have locking pins you can use, and we have some, but they're more expensive and a bit of a pain to get off if you want to do a quick trade. We only use them for pins our kids have no intention to trade.
Be sure to always know where your childs' lanyard is. We've lost two...thankfully one got returned to lost and found, the other never showed up. Our kids put them in the pouch on a ride and forgot to get them out. So we're now in a habit of always, always saying "Where is your landyard" before and after a ride.