Embarrassment can be a very natural and normal response. I recommend developing a balance of being both honest and private. Let them know sex is just another life skill that every person should have some understanding of. As you say this, you might say, "Even me, I had to learn these things too." Be honest and matter of fact. This will teach them that being sexual is normal and everyone has sex. Let them blush a little. These are their feelings and they will work through it.
I also recommend checking out this Guide to Age-Appropriate Sex Education. It’s a good guide to help you understand when and what conversations you may want to have with your children.