you can try privoxy as a proxy with tight control (whitelist/backlist, regexp by words, url, etc), if needed as a transparent proxy, so one can not change that. you can later screen the logs to see if anything more needs to be filtered (recommended ublocker or ghostery to also block ads and tracking, to help keep the logs cleaner)
WoT (web of trust) firefox add-on as a generic blocker, as it block bad, dangerous or not child safe... is not perfect but no solution will completely filter all urls... having said that, if is very good, also protects adults :)
Chats and social network are the main dangers, so parental supervisions and teaching is always required
Make then understand that the internet stores and copies everythings, so they should keep private things private and that they should always questions how much they should trust people that they don't know in flesh and blood.
you kids need to trust you enough to tell you about the problems and things they found... if they really want to workaround any filter, they will do it...
i see friends kids using the dogs facebook login to hide things from parents, others connecting to the neighborhood network and many using the (unprotected) friends computer to do things that they can't do at home