it's true that you should protect them somewhat, but not too much or they won't be ready for the real world, they'll either be shocked beyond belief and live with you for the rest of their lives, or they'll go into the unsavory bit themselves to experience the new sensations they've never known before;)
not saying you should completely desensitize them though...like my mother, I was 4 the first time I saw a lot of horror movies, gave me nightmares till I was 14 (which was cool because they were always fun, I was one of those weird children who like nightmares and were freaky) but look at me now^_^...
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protect your children