I recently purchased the book published by Speechmark, entitled "Protective Behaviours - Activities for Teaching PBs in Schools" by J. Bodsworth, A. Carter and Simon Sneath (2009). I would really recommend this book for use with children, a huge bank of lovely, easy to use, relevant and adaptable activities which can be used from EYFS and upwards, both individually and with groups of children.
I used an activity last week to build self-esteem, modifying it slightly for the ages of the children ('I can' cards on page 27).
I cut out blank stars from yellow card and worked with two young children (ages 4 and 5). They were able to articulate several "I can..." statements each, thinking about their own self-perceptions and areas they feel confident - elicting the voice of the child which can be tricky from little ones, and we wrote them on the cards. Their stars included "I can ride my bike without stabilisers", "I can pick up all the toys and put them in the toybox by myself", and "I can give [sibling] a cuddle after pre-school."
Afterwards, I asked the children (siblings) if they would like to work collaboratively and make a mobile with all the 'I can...' stars.
A lovely result - reminding them of what they can do and providing them with a special gift to take home and share with grown ups.