Sometimes it is best to ignore the heckler, sometimes you can use them to your advantage or work around them in such a way it doesn't risk your show. It all depends on the situation at hand and how to best manipulate it to your advantage. However, if it is a kids show I do not personally believe in embarassing them--- even if they deserve it!
One time I had a 10 year old heckler that I didn't spot out, and I called him up as part of my Prof. Nightmare (I use 3 kids). The second I called him up, his friends started cheering him on - I then sensed the trouble. So I made him the magician (as part of my routine I make a kid the magician). When I handed him a normal plastic wand, he said loudly - "Watch it is collapse", to which I responded - "Watch it not" and of course it didn't. After that he got into the routine and left the show afterward.
So, in response to your comment - No, you shouldn't embarrass a kid, but half the time they do it themselves!