A good start would be to sit down with them and ask them what they know about it already, then you will know where to begin.
It should all be very casual and today, we talk about sex very openly. Why not? You could even interject a little humor as long as they hear what you have to say and it gets thru.
You didn't mention this, but you might as well talk to them about alcohol, cigarettes and drugs....they all kind of go together. (A picture I was shown of a dead body of a drunk teenage driver hanging out the driver's window of the open door by his waist (pack of cigarettes still rolled up in his tee shirt) of his crashed car still haunts me to this day.)You can have similar impact using pictures.
Still, you cannot hold their hands in life...they will need to experience life for themselves, but at least you were there to warn them of all the pitfalls. It's really good that you are concerned.