We geocache as a family, and it is fun. My son (5) calls it "treasure hunting."
On caches that are difficult to find, I found that getting too close with the GPS can be tricky. The approach that works best for me is when I get within 100m or so, I take a bearing on the direction that cache should be. I use a compass to sight that bearing, and start heading in that direction. Along the route, I start looking for place before and after when I expect it to be. It works out rather well.
When my son gets a little older, I plan on ditching the GPS all together, and go compass and map only.
Brian