From my experience with working with children, I have found a variety of methods that work well, and others that have not.
The most effective way of leading children, I have found is by using a method known as E.D.G.E.
Explain; when explaining a concept to a child you must take into account their age, and what they will comprehend.
What a seven year old might understand, will not translate as well to a five year old.
The best way to explain a concept to a child is to explain it in simple terms.
After you have tried your best to explain the concept, ask the child to reiterate what you just told them.
This will not only help them better understand the concept, but it will also help clear up any confusion.
As a side note, notice how the child explained the concept to you.
So that way, when the next time you have a similar age group, you can explain the concept in the language that the children will better understand.
Demonstrate, when demonstrating a game show the children how to play the game.
Then instead of going right to the game, have a volunteer come up and show the group how to play the game.
I know as a kid, I would not always watch the demonstration of how to play, but when I saw one of my peers demonstrate how to play, I would pay more attention, and have fewer questions on how to play.
Guide, when guiding you are not physically doing the activity for the child, but instead you are overlooking the activity, and or participating, and aiding the kids that may need guidance.
Evaluate, reflect on the previous steps.
Figure out what went well, and what could have gone better.
Once you have figured out what works best for you, you are one step closer to being an effective leader.