This isn't a straightforward question you are asking. It depends of what
period you ask the question, and of course what country or region too. A good library might have a copy of
Debrett's Correct Form, which gives you the current position, and answers questions about forms of address and the titles given to children of peers.
As a rule of thumb for
English styled peers, yes a Duke is normally 'Your Grace', whilst all lower ranks of the peerage (Earls through Barons) are 'My Lord'. Monarchs vary enormously: the older styles tended to 'Your Highness' - it was Henry VIII who intrduced the style 'Your Majesty' into England. A good general purpose and older style is to refer to a king as 'Sire', since they are often the fount of all titles and thus 'father of the nation'.
Turning to children of peers, this is trickier. They may as an
honourary title be referred to as 'Lord' or 'Lady' (not prince or princess - that's for the children of monarchs). However as the practise grew of higher nobles acquiring multiple titles (a Duke might also be an Earl, a Viscount and have two separate Baronies for example), then there developed the tradition of the father letting his younger sones inherit one of these titles during his lifetime, provided they are junior to his own. So perhaps the Count of Causter might grant the title Baron of Elderby to his eldesr son. These children then have titles in their own right, and are addressed accordingly. This is why (though the reasons are slightly different*), that Queen Elizabth's husband was craeted Duke of Edinburgh, her eldest son is Prince of Wales, Duke of Lancaster and Cornwall, and her other sons are the Duke of York and Earl of Wessex.
I hope that that helps.
I also forgot to add that if you are DM and this is your own world, then
you can create whatever titles and addresses you desire. My own
Shattered World campaign includes a Sagittate, whose Lord Sage is addressed as 'Sagacity'!
* the difference is that as monarch, Queen Elizabeth is the so-called 'fount of honour'. As such she can create titles as well as bestow titles that are traditionally associated with the Crown.
