Small object (marble, eraser, coin, etc.)
Give everyone in your family a small object to keep with them for a predetermined amount of time. For older kids, it could be an entire day. For little kids, it could be just a few minutes. At the end of the time, discuss how hard it was to keep track of something so tiny. What would it be like to keep track of many different little objects? How did you make sure (or would you make sure?) your object was safe when you were asleep?
Compare your answers to how God keeps His eye on us all the time. He never sleeps; He never forgets us or overlooks us. Just as God keeps His eye on a small sparrow, He watches us.