The best thing you can do is to provide them with a solid foundation of faith -- faith in God, faith in Jesus Christ, and faith in God's Word, the Bible.
After all, every generation faces challenges; the world has seldom been a peaceful or easy place to live. By the time they're grown, your sons may have to face challenges that aren't even on the horizon right now. What will keep them steady in the midst of life's storms? What will give them the moral and spiritual strength they'll need? Only God can do that -- and He will, as they learn to put their trust in Him and be guided by His Word.
Teach your sons -- simply but clearly -- that God not only exists, but also that He loves them and wants to help them. Teach them, too, about prayer, and about Jesus Christ and what He did for us by His death and resurrection. Teach them, as well, the importance of the Bible to guide them through life. (Your local Christian bookstore can suggest a Bible storybook for children.)
Above all, ask God to help you be an example to your children of what it means to follow Jesus. Your words to them are important, but so is your example. God's will -- for both you and your children -- is that "you may become blameless and pure, children of God without fault in a crooked and depraved generation, in which you shine like stars in the universe" (Philippians 2:15).