I may write this up as a formal lesson plan someday. For now:
I handed out copies of the Greek alphabet
(Before copying, I labeled each of the columns, uppercase, lowercase, name of the Greek letter, and English (Roman) equivalent.) I said, "If you've ever seen Chinese writing you know that different places around the world use different alphabets than we do. But I'll be you didn't know that there is another alphabet used in Europe. It's the Greek alphabet, and it's a cousin to the Roman alphabet, the one we use today. If you look at the letters you can see that some of them look almost the same as ours, but others are very different. This alphabet is still used today in Greece, and a version is used in Eastern Europe and Russia.
My computer is hooked up to my TV screen, so I pulled up a couple of pictures of modern street signs in Greece and Russia written in Greek and Cyrillic. The particular pages are gone now, but you could probably find new ones using Google Images Search.
Depending on the age level, you might also point out that these letters are used for fraternities, sororities, Mu Alpha Theta, Phi Beta Kappa, or Beta Club. Even some of my 6th graders know that 3.14 is called pi.
I explained how the table work and what each of the columns mean. I then had them write their names on the blank space at the right side of the paper and practice translating their names into Greek. Tell them to use uppercase at the beginning of the name, and lowercase for the rest. YOU WILL HAVE ONE PROBLEM: Not all our our letters have Greek equivalents. Tell the students just to use the normal, Roman letters in that case. Or if you think they can handle it, tell them to try and find another letter that makes the same sound, like using K since there is no C.
Once you've checked these "rough drafts," give each student a blank piece of computer paper and tell them to make nice-looking posters of their name in Greek letters, using colored pencils or markers or whatever you want. Hang the posters on the wall. They love to look at them and try to figure out whose name is on each poster.