Before you start, you can listen to the song online. Then, you can build your own puppet theater , and print out the play-along script to perform the puppet show with your kids. Feel free to improvise as you act out the story. However, Steve is a big part, so it might be easiest if played by an adult or a child who knows how to read. The child who plays Blue can bark the syllables in each line, just like Blue does.
Kids can take turns playing different parts.