I've always done lots of "What would you do if....." conversations.
But started when they were MUCH younger than this
"What would you do if I wasn't there when you came out of school?"
(On the beach) Point out a landmark behind us, so if can't see us on beach / when go down to sea, know what you are looking for, then "What are you looking for if you can't see me ?"
Know your "plan" if you find yourself separated out in a crowd anywhere (zoo, park, shops, whatever".... I always said Stand still (that way I can back track and hopefully find them, rather than them trying to find anything in particular, and of course, it works wherever you are)..... repeat, on a regular basis "What would you do if...."
"Who do you think would be a good person to ask for help if you'd stood for ages and we'd not found you ?"
and then you build it up as they get older
"What would you do if you were offered drugs at a party?"
"What would you do if the taxi didn't come / you friend got separated in a nightclub / etc etc?"
It gives them chance to have thought of all sorts of scenarios when in a calm and relaxed place (we'd often talk at mealtimes).
then you challenge them "....and if you couldn't see a security man or a policeman?"...... etc.
Then, as they got older, I'd sometimes make up scenarios...... "{Colleague from work's dd} was in town with her mates last weekend and this happened. I don't know what I'd have done." and they start discussing, 'well, if this was happening the could have done A, but if that wasn't realistic then B might have worked' etc.
Then, actually do occasionally be the last one to collect them or something, to let them know everything was fine because they did what they were supposed to / did the right thing.