I use collars and leads on mine. Kids will only have collars on when I am actually walking/training with them, as they still manage to get their heads through the fence... They never have collars on in their pens.
I usually just take the kids out for a walk every so often, a but more lead walking over winter for the nearly goatlings in preparation for showing. I am not sure that training your kids is really necessary, the excitement of the show usually means that they jump everywhere anyway...
I have only ever seen males with headcollars/halters, never a female.
All my collars are the quick-release soft ones for everyday (bought when on offer at merchants), and nice leather ones for showing.