They are never too young to learn this and my sister gave me a great idea of how to do it. She told me that she tells her daughter a story every night at bedtime and starts it with her information. So I started doing it too and got great results. Here is how our stories start:
Once upon a time there was a little boy named ______ and he lived at ___________in ______. His phone number is ___________ and his mommy's name is _________ and his daddy's name is _________. He has a little brother named __________ and goes to __________ school, and he loved mud!
He likes it when I tell him stories about him playing in the mud! I started out filling in the blanks for him. We started this maybe 3 months ago and he now can fill in the blanks himself and I add items, like his school name and his birthday, so that he can learn everything.
I hope this helps you if you are trying to find a way to teach your kids.
You can also read about how I approach Stranger Danger with him here.