Both times I've started mentioning babies after the 12 week scan, but not really made a big deal of it to start with.
Then, as the time has got closer (from about 30 weeks onwards) I've talked about it more, got DS (and, the next time, DD) to help me sort out clothes for the new baby, and looked at pictures from when they were new. I also encouraged them to talk to the bump. Which, this time around, meant they both came bounding in to my bedroom every morning to shout 'good morning baby!' into my belly button.
I don't think they zoned out by telling them too early, DD in particular was always interested in talking about the baby. I asked their opinions on names too. Not that I was ever going to use DS's suggestion of Gordon for a girl.
Both of them saw me being examined by the midwife this time around, as she visited at home as I had a homebirth. I think that helped, as she explained to them what she was feeling for- could you take your DD to an appointment nearer the time?
I also talked about what would happen with them when the baby was born (they went to my parents for the day, and came home and met DS2 when he was 2 hours old), and, when asked, explained to DS how the baby would come out. Luckily he didn't think to ask how it got in there in the first place!
Oh, and we read 'There's a house inside my mummy' so many times that I think I'll be able to recite it when I'm 80.
DS seemed unphased by DD's arrival (he was 22 months at the time), and they both seem to be coping well, at the ages of 3.10 and 23 months, with DS2's arrival. Mind you, he was only born on Friday, so it could all change!
Good luck with your new baby. Watching your children's relationship with each other develop is definitely one of the high points of parenting, in my opinion.