Where to fill up the form T4A for the dependent ?

If the T4A is for your dependant, it would go on their own tax return, if they are filing one.

Here is more info from the CRA on who has to file a tax return: https://www.canada.ca/en/revenue-agency/services/tax/individuals/topics/about-your-tax-return/you-ha...

I received a T4A form for my two dependents for scholarship funds in Box 105. As they are only 6 years old, do I file it under my own tax return? Or do I need to do a tax return on their behalf? 

As long as you don't claim any of your children as "eligible dependants" then you don't need to claim it.  

Claim them as you dependants and not eligible dependents.

https://turbotax.intuit.ca/tips/summer-jobs-and-taxes-part-1-school-aged-children-under-18-4135