You will need to consider the age of the children you are teaching. It may be that with younger children you could encourage them to recite the Lord's prayer with you. With older ones, you might want to get them to think a little more about the meaning behind the words, a see if they can write their own prayers to God based on one or more of the elements in the Lord's prayer. Here's a Lord's prayer lesson with some activities that you can use to help children discover this prayer for themselves:-
It's always good to begin by worshipping God and focusing our hearts on Him in some way. You could explain that this is the first thing that Jesus did when he prayed: -
"Our Father in heaven,
hallowed be your name". Perhaps at this point you could sing a childrens song about prayer. If you're not aware of any, Ishmaels childrens worship is a good place to start. Here you'll find lots of resources (including kids music and free games for children to play) that Ishmael has produced over the years, and if you scroll down on the home page you'll see a weekly "Prayer Song".
Here's some great free coloring sheets that you can print out and use with your child (or sunday school class). There's seven sheets altogether, each covering different elements of the Lord's Prayer, such as "Give us this day our daily bread" with a fun picture of a boy eating his packed lunch!