First, define what morals you feel are the most important. Do you value honesty, integrity, compassion, responsibility, hard work? What about some of the harder ones like drug and alcohol use and teen sex? You can't teach all values at the same time so it is best to rank which ones are most important to you and concentrate on those. It also works well to teach a moral or value when the opportunity presents itself. For example, your child takes something from a store he didn't pay for. This is an opportunity to teach honesty.
Use your child's sense of feeling and/or self-direction. This also works best when a child presents an opportunity. If your child was incensed on how they were treated on the playground, remind her of how she felt being left out when she decides to leave somebody else out.
Use consequences or natural consequences. If you are going to punish bad behavior, you must also praise good behavior. Also, be careful with your punishments. If you are trying to teach a child violence is never okay, then don't hit them for hitting somebody else.
The most important of all is lead by example. You child must see you practicing what you preach. If you are trying to teach them about teen drinking, you must not drink as well. How is your child going to choose to stay away from smoking if you're smoking a pack a day?
Many years ago, I was at a grocery store in Chicago Heights, Illinois. I had a new baby and a five-year old daughter. We had gone in the late afternoon on a very cold day to the grocery store. When I got home, I found that I had not been charged for a 12-pack of soda. By the time I realized the mistake, it was dark and even colder outside. However, I bundled my children up again, drove to the store and went to the customer service desk to explain the mistake. The clerk acted put out that she had to correct the mistake and was a bit rude. I softly explained that I did not have to come back and it was more hassle than it was worth. When I drove off I was feeling angry that I had wasted my time with such an ungrateful store. When my daughter piped up and said, "Mommy, why did we have to come back to the store? If they didn't charge you for that stuff, it wasn't your fault." At that moment I realized what a great teaching opportunity I had and said, "It was the honest and right thing to do."