Great stuff, Rel.
I too started my son down this path when he was around three.
We did similar things to this, and the culmination of the first year of this was his fifth birthday party.
We had it at a big park that has a monstrous gated play area, and the day before my wife and I went and created/planted clues. The whole thing had a pirate theme, and each 'station' where the children figured out a clue, they were given a small piece to their pirate costume (headwrap, eyepatch, spyglass, earring, little foam sword, etc). Extra points went to those children who stayed 'in character', i.e. acted like a pirate. They split into teams and each team was sent after a different 'quest' at the start. Each one of the quests was either to figure out a visual clue on the playground from a riddle, or to get a certain object that could be found around the playground.
It was a blast. Several of the parents thought it was weird at first, or that their kids wouldnt get into this kind of play, but they all took to it and imaginations went wild. Of course, I dressed up like a pirate and gave them the 'briefing' before the start in my best piratey voice ("Yaaarrr, dis be Black Jack Jim, and ye are ta find me treasure...") which set a nice tone, and I continued to stalk around the playground "in character" acting like a pirate.
At the end was an actual pirate chest full of little toys, candy coins, jewelry, etc that the successful could dig a big handful out of. I was the most successful birthday party we ever threw, and beat the crap out of Chucky Cheese. The parents were *amazed* at how deeply immersed the kids were, and most of them went home brandishing their treasure and talking like a pirate for days afterwards.
Since I paint miniatures, for a long time my son would have me spray his plastic cowboy and army men and then he would sit beside me and paint them with watercolors while I painted my minis. Finally he really wanted his own and then discovered the joy of heroclix. We started simple, just opposed dice rolls and they walloped each other. Gradually I started introducing more complexity and encouraging him to act out his actions and think his way through things.
Several weeks ago we were playing and he decided on his turn that he would use spider man to create a big web on a lightpole, then the Hulk would snatch it out of the ground and drop in on two of my guys like an improvised net so he wouldnt have to hurt them to capture 'em. He did this while imitating Peter Parker and the Hulk in voice, alternating between making smart-alec comments and roaring like Mr Big Green and Ugly. I had nothing to do with this improvised approach (he believes in house rules as much as I do), and I was so proud I nearly cried
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Great job Rel. It's amazing how much joy you can get by these little games, and it's also amazing how much of an effect they can have on your kids. I've recently started introducing my 3-year-old twin daughters to this kind of play and they are taking to it like a duck to water.