What is the convention, should I call myself coach "first name" or coach "last name". It's a team of 4 & 5 year olds.
I don't think there is a common convention, but you may want to ask around the local area to see if there is a local convention.
Where I live (Midwestern US), the most frequent thing I've seen is "Coach first name", but it's mostly what you're comfortable with. I usually introduce myself as "Coach Joe", but some of my kids will call me by my last name, and I don't discourage that.