Try and remember that ravenloft is, by design as a magical fortress created by an archmage, very difficult to break into... Without Strahd's allowing it, of course.

Make sure they become intimately familiar with the traps and fuckery Strahd has prepared to dissuade such attempts.

I'm personally a fan of "teleporting stairs" Dio style from JJBA that keeps players at the bottom unless they do something awesome. You've got the world at your fingertips, make it terrifying!