I have to agree with all of the above. Keep it mellow and as soon as it stops being fun for them, head in.
My daughter first really sailed when she was about 5. We went out on the Hobie 17 and she thought sitting on the wings was cool. Later that year, I took her out with me (again on the 17) on a Sunday at a regatta. When she got cold, we went in, no questions asked.
She's since crewed for me a number of times on the Hobie 16 (all her trophies are proudly displayed on her bedroom wall). At the Rochester, NY points regatta last year, she was out in driving rain, 20+ knots, we were involved in a collision - and she thought it was the coolest thing - at the ripe old age of 11. That's her favorite trophy:
Dad even let her drive the Tiger last summer:
(Notice that Mom's not too far away

)