I took the approach that I would worry if I didn't know where they were.
So they were never to go through a doorway (vehicle or building) unless mummy ir daddy (or one trusted named friend) had said it was OK. Even the friend of a parent offering them a lift should phone me first so I knew where they were (useful example, as they could easily imagine how worried I would be if I turned up after they'd left and didn't know where they'd gone).
This was in tandem with messages that most people are kind and good, but some people are baddies but you cannot tell which is which just by looking. Also, that if they were lost, they should look for a member of staff in uniform, or a mummy with small children, or go into a shop and ask a course member of staff to ring mummy and say where they were. I drilled them in reciting my molie number from early on. It's scary to imagine losing mummy, but less worrying if drilled - and far less worrying than the prospect of child abductors.
Also, with the boys, I had a loo drill that they were to go in, do the necessary and leave without speaking to anyone, and if they were more than 5 minutes I'd embarrass the heck out of them by coming in after them.
I still repeat all this, even though the youngest is now 8 and they roll their eyes and say they know all this and shut up mummy.
They were of an age where they noticed the McCann coverage, so the idea that someone might take you away from your parents was scary in itself. You need to stress that it's rare, though.