One of the best ways to help your preschooler learn to write his name is to practice, practice, practice! Yes, it might be the best way, but you can make it more interesting.
I like to have LoLo (4) draw a picture and below it I write a story that he tells me about his picture. I write the words in print on the lines in a yellow highlighter, then his job is to go back and trace over each of the letters. Since he is still new to writing, I keep it to 2 sentences maximum. I hang his artwork in our dining room so everyone who comes over for dinner can see it.
TIP: Make sure you are using the same font that your child is used to seeing in the classroom (or will be seeing). Some schools use ball-and-stick (letters made up of balls, sticks, and hooks), and some use D'Nealian (such as a fancy "a" and "t"-as shown in the font I am using now).