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The purpose of Primary 7 Lesson 39: Stephen, the Martyr is gain a greater understanding of the Godhead.
This Godhead Gospel Study Pockets from The Redheaded Hostess is a great way to explain about the specific and complementary roles of the Godhead.
The following are links to LDS.org resources unless otherwise stated.
"The Only True God and Jesus Christ Whom He Hath Sent" by Elder Jeffrey R. Holland
"Gaining a Testimony of God the Father; His Son, Jesus Christ; and the Holy Ghost" by Elder Robert D. Hales
Godhead- He Knows Me (about 3 minutes)- Actions you can take to become closer to Heavenly Father
God and Angels (about 2 minutes)- Illustrated scripture story of Joseph Smith's vision
The Restoration (about 19 minutes)- Joseph Smith's story
The Martyrdom of Stephen (about 5 minutes)- Bible Video
"This Is My Beloved Son"- Children's Songbook pg. 76
"Joseph Smith's First Prayer"- Hymn #26
"When Jesus Christ Was Baptized"- Children's Songbook pg. 102
"He Sent His Son"- Children's Songbook pg. 34
"I Lived in Heaven"- Children's Songbook pg. 4
"Can a Little Child Like Me:"- Children's Songbook pg. 9
"Seek the Lord Early"- Children's Songbook pg. 108
"Choose the Right Way"- Children's Songbook pg. 160
"Nephi's Courage"- Children's Songbook pg. 120
John 4:24- Worship in spirit and truth (also see v. 23)
D&C 93:19- Tell so you know how to worship
Article of Faith 1:11- Privilege of worshipping
Article of Faith 1:1- The Godhead
Daniel 3:18- Shadrach, Meshach, and Abed-nego refuse to worship the golden image
Revelation 14:7- Worship Him who made heaven and earth
2 Nephi 25:26- The right way is to believe in Christ
Alma 34:38- Worship God in whatever place you are in
D&C 20:29- Must worship God
Joshua 1:9- Be strong and of good courage
I am having so many problems with the search bar on LDS.org this week! As far as I could figure out the only Stephen specific extras were simply story summaries. If you find something that is LDS approved, please add the link in the comments below.
Article of Faith 1- Activity worksheet to go with Article of Faith 1
The Godhead- Coloring activity with scriptures
I Have a Father in Heaven, Who Loves Me- Make this bookmark and encourage your class to use it to mark their ponderize scripture for the week or homework assignment
I Am a Child of God- Make this cube with scripture slider
The Holy Ghost- Crossword
Names of the Holy Ghost- Word search
For more activities on the Holy Ghost, see lesson helps for Primary 3 Lesson 26
For more activities specifically on Jesus Christ, see Primary 7 Lesson 4
Heavenly Father Loves You- This is a 2 page coloring poster
I Am My Heavenly Father's Child- 4 squares to color
Be sure to also check out Rachael's Booknook handouts too!