Of all the "h brothers" (ch, sh, th, wh) I find "wh" to be a little more troublesome for new learners. I always choose to do this last when introducing the topic. For some reason students have a vast disconnect between the word "whale" and "whistle". I find that visuals are critical when working on this skill. See how it goes for you.
Most common words with "wh" digraphs - when, which, what, whip, and which. "Whale" is also a great example to use with kids.