You say a number, and see if they can make a filled in rectangle with that number of candies. (It works best if they're all the same size- like m&ms)
Can you make more than one box?
Don't tell them their secretly learning about factoring and prime numbers-
If it can't be boxed, i.e. it can only be arranged in a line, it's prime.
If it can be boxed, the dimensions multiplied together will give you the number.
If it's dimensions are equal, it is a square number!