Before conducting any experimental activity with your fourth graders, it's important to introduce and explain your basic concepts. One of these is that heat will always travel from a warmer body to a colder one. Another is that there are several ways for heat to do this, including conduction and convection. Conduction is transfer of heat by direct contact between the two bodies. Convection is the transfer of heat through a fluid medium, such as a liquid or a gas.
Fourth graders are perfectly capable of working with ideas and concepts, but it's often helpful to provide concrete examples when a new concept is introduced. A good starting point for discussions of heat is to demonstrate a few examples of heat transfer and ask them to identify which are conduction and which are convection. The demonstrations can be simple. Heat a small pan on a hot plate, and another one in a toaster oven to illustrate the difference. Ask the children for examples of one or another from their own home, or from right there in the classroom.
Once you've discussed conduction and convection and debated some examples, offer a few more advanced examples. Use a clear-sided vegetable steamer to cook some beans or carrots, and ask whether it's conduction or convection. Do the same with an egg in a frying pan. Next, boil an egg. Ask the children whether that's conduction or convection. It's a tricky point, because hot water is in contact with the egg, so it appears to be conduction. However, the heat is being transferred through a fluid medium -- in this case, water -- and that makes it convection.
Comparing the relative efficiency of conduction and convection is a useful experiment. Crack one egg into a frying pan heated to 350 F, and another onto a pan in an oven that's preheated to 350 F. Have the kids track how long each one takes to cook, and discuss why. Give them more food for thought by comparing heat transfer through different forms of convection. Place one egg in the oven, a second on a saucer in the steamer and a third in a pot of boiling water. Guide them to the conclusion that denser fluids transfer heat more efficiently.