There is hardly anyone who has not experienced a good laugh when inhaling helium from a balloon. Hearing your own voice turn into Alvin from the Chipmunks - or better yet, hearing your friends do the same - is universally funny. While doing this on occasion is harmless, make sure your children know it is only a silly thing to be done once in a while. Breathing in helium displaces oxygen, the gas the body needs to survive. Most people experience a slight dizziness as a result. As stated, it is harmless if only done on occasion.
You should never breathe helium directly from a helium tank. Inhaling pressurized gas can lead to a ruptured lung. If you should choose to rent a tank to create balloon decorations, make sure children are always carefully supervised.