Is there anything in particular that you have done to help your children think about death and the life to come?
The main thing is to make sure that your children are in the word, absorbing the whole counsel of God. If they are in the word, reading it consistently, then the Bible will set up the proper proportions for them. They may struggle for a while with whether or not certain parts of the Bible are relevant for them. But if you keep exposing them day after day, week after week, month after month, and year after year, then, when they get old enough and they are starting to feel their finitude, they will see that the Bible is relevant for them.
Little children feel invulnerable as long as mommy and daddy have their arms around them. Death has no meaning to them whatsoever. You don't expect a child to deal with the full scope of redemption until they begin to feel some of the wider implications (i.e. that they're finite and could die). Some little children have to deal with death very early on if they suffer the loss of a mom or dad, or if they get sick themselves and have to hear mommy and daddy say, "You're going to be with Jesus very soon, because you have leukemia." But generally, children are waiting.
So the main answer is not to try and figure out some technique for presenting the second coming or the future life to your children. Rather, keep them exposed to the whole range of the Bible; because when they read John 3:16 at age 3, and memorize it, they're going to begin to ask, "Perish? Daddy, what's 'perish'?" Then you don't have to think up any fancy strategy for helping them come to terms with perishing and eternal life. It's right there.
So keep exposing them to the whole range of Scripture. Then the questions will come and you can say, "Perishing is what grandpa did last year, and that's what is going to happen to you too. It could happen in a year or five years." Your kid will probably go to bed that night with that ringing in their ears, and some fear may come, and they may call you in the middle of the night saying, "I'm afraid! I might die!" Then you have a golden opportunity to say, "You know what? Sometimes I'm afraid too. And what I do is remind myself that Christ died for my sins and there is no condemnation. Nothing will happen to me, and the Devil and death cannot get at me, apart from God's loving plan. So let's pray, and let's trust Jesus."
Some parents keep their kids away from funerals. Is that a wise thing?
I don't think we should keep our kids away from funerals, or, for that matter, the news or tragedy or abortion. No, we need to help our children taste--in the little way that they can--what the horrors in the world are. Then we must show them the abundant provision that is in God. Those are such golden opportunities!
How will a child ever come to cherish eternal life, or the cross, or all the glorious things about the Christian faith if all the tragedies of life that they are designed to respond to are kept from them?