This activity comes from Dustin Smith - the Teacher Tipster. All you need is a bottle of bubbles. If you want to get fancy, download the free "Self-Control Bubbles" label one teacher made and paste it onto the bottle.
Self-control is a really abstract concept for young children. Research shows that self-control isn't something you're just born with. It is a skill that needs to be practiced and can be improved. Start the activity by filling your room with bubbles and encouraging your children to pop them. Let them get a little out of control. Once all the bubbles have been popped and the excitement calms down, issue a challenge. Tell them you're going to fill the room with bubbles again. This time, their job is to NOT pop the bubbles. Don't pop them if they land on your desk. Don't pop them if they land in your hair. Don't even pop them if they land on your nose. Once all the bubbles have popped, talk about how hard it was to leave those bubbles alone. Tell them it takes self-control to not do something you really want to do. Discuss other times in a classroom that it is important to exercise self-control.
The best thing about this activity is that it should be memorable. The concept of self-control will come up again and again and you can refer back to the self-control bubbles to help them remember one very concrete example of when they succeeded. You might even repeat the experiment regularly to give extra practice and help keep the idea fresh in their mind.
If you're creative, you can think of other exercises in self-control and do one a month. You might put a pretzel on everyone's desk. Anyone who hasn't touched the pretzel by the end of the lesson gets two more. Simon Says, The Freeze Dance, and Red Light, Green Light are games that exercise self-control.
If you have any great activities for working on self-control, please share them in the comments!