The funny thing is that it's never the kids that are lost, they know right where they are! It's the parents that are lost!
This is actually a pretty serious subject that everyone needs to discuss as a family before your trip even begins.
First, do NOT put name tags on your kids. In fact try not to have their name displayed anywhere that a predator could see it. (Jewelry is a prime example) Make sure they know their name, your name, the hotel you are staying at, and hopefully the room number, and your home telephone, including the area code. If they are too young to know this info, they really need to be in a stroller or holding your hand at all times.
Discuss not ever going anywhere with a stranger. This gets dicey, because if they do get separated from you, they will need to seek out the help of a cast member and probably be taken to a place where you will be able to be reunited. Point out the cast members to them, again, dicey as they all have different costumes which vary from hotel to park to land. You might want to show them the WHITE nametag that all WDW CM's where. If the person is wearing a colored tag, they are NOT a CM and your child shouldn't go with them. Tell them that if they are lost, they need to go into the nearest shop or restaurant, and go to the counter, and tell the CM they are lost. By them seeking out a person behind a counter, you are pretty much guaranteeing that they are actually going to a CM. Tell them that NO MATTER WHAT, THEY NEVER, NEVER, NEVER leave the park with ANYONE, period. WDW will never remove your child from a park if they are lost.
Anne