The great thing about pressure-treated wood is that, in spite of the incessant changes between dampness and dryness, the wood will never rot. The same process of dampness and dryness does, however, cause the wood to check and that is why your kids are getting the splinters. To correct the problem you must first lightly sand the wood to eliminate any existing splinters. The next step is to apply a stain and then a water repellent to the surface. Water repellents are now designed for specific materials, so make sure that you buy the repellent specifically designed for wood. If you want to stain, you have three options. If water repellency is most important to you, do it first and stain after. The stain will not last as long as if it were applied first-it simply cannot soak in as well. If a precise color is more important, apply several coats of light stain to achieve the desired color and then apply water repellent over the stain. If you know that you can get the color in one shot, use a water repellent with stain in it and they will both penetrate well.