"Checkmate at Chess City" by Piers Harper is a good book to help teach how each piece moves. It's not written for that age group, but you could possibly make it work. I used it with my 4 year old and he understood it fine.
Also there's "The Right Moves" by Discovery Toys. It's been discontinued, but it's still possible to find it. Each piece shows on it how it is able to move and the pieces store inside the folding game board. I think it's meant for 8 and up, but I think they underestimate just how smart younger kids can be!