I use balloons to demonstrate rounding. I take a helium filled balloon that is tied with a string. Holding the string in my hand making sure that my thumb is the one that has a hold of the string, I show them by counting on fingers that if I remove 0-4 fingers my balloon stays the same, but if I remove 5-9 fingers then my balloon floats up. This gives them a visual and my kids really understood the concept once I showed them this. I hope this makes sense.

I teach the students this: Find your spot (where ever you're rounding to) look next door 5 or greater? add one more (to your spot) Find you spot (where ever you're rounding to) look next door 4 or under? add NO more! (to your spot)

We teach it with a story. For example, if you are rounding to the nearest ten, 10, 20, 30, 40, etc. are all "gas stations." You're driving in your car and you run out of gas at mile 28(for example). Which gas station would you go to? 30 because it is a lot closer than going all the way back to 20. For "5s" we say that you go ahead because you want to see new scenery then walking back the way you came or that it gets you closer to where you're going. We actually practice this with cars and number lines(with gas stations drawn in). The kids really enjoy it and seem to catch on pretty well!

Some good ideas here. How about using number lines to teach it? You could show where on the number line the number is, then ask them to look and estimate which number it is closer to (of the two choices - like tens or whatever).