With the threats worldwide to our children from internet predators every little step we take to protect them counts.
What can you do you ask?
Education - This the most important factor in dealing with these issues, a simple don't talk to strangers will not cut it in todays world as children as a whole love to interact with others online. And may easily fall prey to internet whacko's.
The folks over at MSBLOG have a great post on this very subject here so sit down with your children and watch and discuss this topic to better protect our youth.
I also highly recommend the Report Desktop Abuse Client a well desinged program to help your children immediately report offenders/sites that target them.