If one is playing with his young children and tells them: "Now, if I catch one of you, I will eat him.", and he caught one of them and did not eat him, is this a lie, and are we sinful for saying so? However, he did not intend the real meaning of the word.

All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger. We ask Allaah to exalt his mention as well as that of his family and all his companions.

It is not permissible to lie to the children as it is not permissible to lie to other people. It might be that lying to the children is even more harmful on their cultivation and upbringing. This is why the Prophet said: "Whoever says to a child: "Come and take this.", and doesn’t give him anything, it is considered as (one) lie." [Ahmad] Furthermore, Um Kalthoom Bint ‘Uqbah said: "I did not hear the Prophet permitting lies for people except in three cases: in war, in reconciling between people, and when a man speaks to his wife or when a wife speaks to her husband (in certain situations)." [Muslim] Therefore, lying to the children is like lying to other people, so a Muslim should shun this and he may use  Tawriyah instead (to say something which has more than one meaning and which the listener is likely to understand a different meaning than what the listener said). Of course, the father did not intend the real meaning of the word he said to his children, but this gets the children accustomed to lying, and this teaches them to lie.   

Allaah Knows best.