My friend teaches her children how to sew by using lined notebook paper. You use the lines on the paper to sew a straight line.
You don’t use thread because the needle makes nice punch marks on the paper.
Your child keeps practicing until he or she can sew a straight line.

Trace a square shape on paper to teach stopping and pivoting the needle to change sewing directions.
Sewing a paper circle is even more challenging.
Use any Montessori shape to do this exercise.