Hi,
I've been babysitting today so I had three girls in my house age 2, 3, and 4.
We played the "fire" game. Two girls put on toy firehats that we got at a tour of a firestation. The remaining girl pretended that she was on fire. She would stop, drop, and roll. Then the firefighters would put out the fire, and then the girl would hug the firefighters. They took turns being firefighters and girls on fire.
They play pretend with a variety of other stuff (e.g. being attacked by a dinosaur or princess locked in a tower by bad men). In those cases, I've been trying to work on the "say no, get away, tell someone" procedure that another mom taught me. It's not too hard to extrapolate from a dinosaur to a stray dog or from an "abductor of princesses" to a kidnapper.
I think that at this young age actually acting out the procedures is better than just talking about it. The girls had fun playing pretend, and hopefully acting it out will help them remember the stuff better if they ever need it.
I don't know about older ages, but this might give you some more ideas for working with kids at the toddler and pre-school stage.
-Kuovonne