I think the best thing you can do is set a good example, drum the rules into them, and let them get on with it. My Dad always told me to look before crossing, even at lights, because the green man doesn't actually physically stop the traffic, and that habit has saved me before now, when a car has gone right over a red. I think part of it was that he explained WHY I still had to look, so it didn't just seem like a pointless rule. And when I was about 8 or 9, I saw a girl knocked down in the road, and it made a big impression on me.
It's the same sort of thing for all dangers I guess. Lay down the rules, but credit kids with the intelligence to understand an explanation of why the rules are there.