See what the NSPCC has to say here!
There are so many connected devices on the market now, each with their own unique way of setting up parental controls and restrictions. Equally, the functionality of these devices can be daunting with chat, game downloads, in-app purchases, third party apps on the devices (such as social media, Netflix) etc.
Firstly, look up the device on YouTube using a simple 'how to' query e.g. 'how to restrict in-app purchases on Playstation 4'. Secondly, the wonderful people at Internet Matters have a one stop shop for setting up devices, which can be found here.
As well as devices, parents also need advice according to the age of their children. Again, Internet Matters has this covered for children aged 0-5, 6-10, 11-13 and 14+ here.
The Child Exploitation and Online Protection Command (CEOP) have a nice, simple guide for parents to help with understanding gaming here.