We only allow our son to sleep with us on stormy nights when he gets scared. Luckily he's slept through the past week, but when it gets really bad he screams out of fear. He used to be "scared" to sleep in his room, but we talk to him all the time about how Jesus protects us and that he never has to be afraid. It took a while, but he now is fine sleeping in his room. We just had to be consistent with not allowing him in our room because he would beg for it.
He actually came in our room two nights ago and climbed in bed to go to sleep. We just took him right back, and it was no big deal. Like I said, though, it took us a while to get there. We pray a lot with him about his fears, and we pray ourselves for him. He knows scripture too so he can say them when he gets scared even if he doesn't fully understand. "God did not give us a spirit of fear but of power, love and a sound mind." "Do not be afraid for I am with you." Josh 1:9 is his newest "God is with you wherever you go." Everytime he got scared we asked, "Who is always with you to protect you?" He would say Jesus.
Just let them know that you are there and are not leaving, and assure them that you will be back to check on them later. That was something else we had to do with ours and sometimes still do. There are some other things we did. If you'd like to email ____@____.com I would love to tell you some other things.