As I said before, I don't think 40K is really a kids game, so I am being really careful about what it is all about and try to keep nice and light. No need to scare them quite yet about their own future..The Orks do lend themselves for some lively re enactment which is always good for a laugh.
One thing was funny. 10 Orks assualted 5 spacemarines. Orks get 40 attacks, my 5 year old rolls a killer roll with like 20 4plus or so. Next roll needed 4 plus again, she rolls 4 good ones. My nine year old takes 4 3 plus saves and makes all of them. I mean, come on!
Terrain: blocks and some terrain that was close at hand.
In the end the Orks got slaughtered (see blownup trukk and looted wagon) and the Iron Snakes captured the needed 3 jewels in the middle.
Oh, by the way, when I was cleaning up the toys the other day I came across some of my terrain that was used a few weeks ago in Playmoland, now the girls moved all the Cars in...good stuff.
Play Warhammer with your kids! But make sure to scale down expectations. Just have some good family time...