even after they ask keep playing the game. you'll know by their look at you when they think you're nuts for still trying to convince them. DON'T EVER TELL THEM WILLINGLY. let them hang onto childhood for as long as they are willing. once they figure it out express how important it is to keep it a secret from their friends so there aren't upset parents.
My wife and I never did tell them. We let them figure it out for themselves. We have four kids, ages 13,10,7 and 2. The older ones seemed to figure it out (or were told by friends) around 9 years old but they still pretend to believe, as much for me and my wife's sake as for the younger siblings I think.