Likely the most important way that Atticus shows them how to be courageous is through his example in being willing to defend Tom Robinson despite the fact that the entire town appears to be hell-bent on a conviction regardless of guilt or innocence. Atticus repeatedly demonstrates an unwillingness to bow under pressure and on the opposite side a willingness to work tirelessly for his client even when he knows the outcome is likely already determined.
One of the other ways that he shows them may not in fact be through an act of "showing" but happens because he is willing to allow them the freedom to make decisions for themselves and to learn about consequences and the feelings that follow an act of courage. Though he is of course worried about them and makes sure to do what he can to protect them and insulate them from the worst dangers of their community, he does not follow them around or prevent them from making both courageous and cowardly decisions. This allows them to learn the distinction in a meaningful and powerful way.