Staining a Child's Play Set?

Since your play set is made of cedar, it doesn't really have to be stained but you may still prefer to stain it anyway.
Here is a very good site with lots of information:

www.ehow.com/info_12028153_seal-cedar-swing-set...
I'm not sure if carpenter bees are attracted to cedar but I know that I have had problems with these rascals making holes in other outdoor pieces/buildings. If you should encounter this problem, the best solution that I found (that works) is to use Diatomaceous Earth (or commonly called DE). Just use anything that you can use that will get it into their holes.
Here is a link to explain about DE - just in case you are not familiar with this product (I only buy food grade):

npic.orst.edu/.../degen.html