Exactly. I have an eight year old. He has access to his own account on our Mac and (at least partial) internet access via the Wii. Mac OSX comes with a variety of parental controls, some of which are enabled on his account. I've explained what the controls are, what they do, and why - about 20% of which he probably understands. I've not limited the Wii with the understanding that if he misuses it (buys games without permission) that it can be locked down. The idea is to let him run till he pushes the limits - then expand them in a rational way.
If he wants to exceed the boundaries he knows that he can ask. I'm setting up a couple of old computers with linux and we're planning to explore that together. Basically, until he's ready to wander around town on his own he's not ready to wander the Internet without some filtering.