DH's father died when our children were 9 & 11. He had been ill for some years and seriously ill prior to his death. We always talked about everything at home so we just included them in all conversations about his illness, death etc. They accepted his death because we had known for months that it could happen any day, and so did they
Four years later his widow, much his junior, and to whom they were very close died suddenly after a very short illness and hospital incompetence meant nobody told us she had gone into her final coma during the night and we only discovered her state when we visited her in visiting hours after lunch (some things never change). It was extremely traumatic for all of us, again we just included the children in everything from grieving, to raging, to laughing, yes, you do that as well.
The one thing we didnt do is take the children round to her flat once we began the process of disposing of her belongings. We gave them anything they wanted to keep but felt that the sight of an emptying flat as we gave, away, sold and threw away her personal belongings might be troubling to them.