The only honorifics for a King are "Your Majesty," followed by "Sir." When speaking about the King, he can be referred to as "His Majesty," the King, or by his regnal name, i.e. George VI. For a Queen, "Your Majesty," is followed by "Ma'am." She is referred to, in spoken and written word, as "Her Majesty." Only a Queen Regnant has an ordinal number after her name, as Queen Elizabeth II does. A queen consort, the spouse of the reigning king is referred to by name without a number and the designation of consort is used.
A Prince is "Your Royal Highness," followed by "Sir."
A Princess is "Your Royal Highness," followed by "Ma'am."
"His Royal Highness," "Her Royal Highness," and given names used with the titles if they are born or bestowed royals are used--"Prince Philip," "Princess Anne." For a woman who assumes royal status only through marriage, the title and her husband's given name is used-- "Princess Michael of Kent."
In the UK, "Your Grace" is used for dukes and duchesses, not for royals.
This site is very helpful:
http://laura.chinet.com/html/titles01.html