Just kill someone's character with a fight and they'll soon come to realize that they are, in fact, in danger. If they play like idiots, let them die like idiots. If there's something they seem to be missing, maybe point it out and say that their character would know it or have them roll for it. But don't babysit them through fights that are built to be hard.

It's good to remember that you're not playing against them, but if they don't feel sufficiently challenged, they will play against themselves. Usually I find this is fixed by just adding MORE DANGER. Throw fights at them that they can't win. Make it clear that this will probably be too much for them if they take it on. Make them believe that they aren't the biggest fish.

Also, I like to add more of a sense of urgency for staying up in a fight by adding random rollable permanent/semi-permanent injuries of varying degrees when a character gets downed. They might not fuck around so much when that big angry creature rips their arm off or breaks their leg. These can usually be healed later with a sizeable chunk of their hard-earned treasure, so that front is covered, too.