Don't know exactly how old your kids are but here is a tiny help...
http://www.myschoolhouse.com/courses/O/1/11.asp
I have one saver and one spender still at home. One always wanted to spend and the other always to save. Some of this is just how we are 'bent'. However, having homeschooled mine they were similar in no wants for the longest time...they didn't have the peer pressure involved.
If I were you I wouldn't give up hope but just keep seizing those teaching moments when they arise. You are in the store with two similar items..."which one is cheaper for us to buy?" and let them figure it out. When shopping let them hear you put stuff back on the shelf saying, "I'd rather save my money and earn interest than have this now." Stuff like that. There are lots of these kind of minute by minute decisions we parents make but don't often verbalize them. Let the kids hear your rationale behind monetary decisions. Over time lots will sink in.
I like the idea of keeping a chart showing interest earned! I think I'll try that here. It'll show CashHappySon just how much better off financially Frugal Son is w/his investments rather than spending!