My parents gave us a small allowance (adjusted for seniority) from the time we were 7 and 9, or maybe a little earlier. My parents impressed on us that we could do what we wanted with it, but that they were not going to be buying candy or comic books anymore - if we wanted it, we needed to make that choice and use our own money.
My brother was always better at saving than I was - and bought things like skittles that he could really make last a long time. Drove me crazy.
In any case, I didn't really learn much about how to manage money until I started babysitting and actually had some. The choice between candy now or a comic book next week wasn't much of a choice - but with babysitting money I was expected to finance any impractical wardrobe wants, movie tickets, etc. I think the trick to teaching kids how to manage their money is to wait until they have something worth saving for - like a trip or a laptop. It wasn't until I had that kind of goal that I learned how to earmark money for a specific planned purchase, some for saving and some for pizza with friends.
Oh, and my parents definitely had to reassure me when I finally did make any big purchases - watching hard-earned savings dwindle like that all at once was pretty rough.
It got easier with practice, unfortunately...