Teach the students safety songs. You can download hundreds of free safety songs from the Internet to sing with your students. Choose quick songs and chants that will be simple enough for small kids to learn by themselves and sing along with you.
Role-play with the students. Practice "Stop, Drop and Roll" and calling "9-1-1" with your students. You can even use a fake phone to ensure each student knows how to properly dial 9-1-1.
Play safety games. McGruff (the Crime Dog) has his own website of many different safety games for kids of all ages from how to deal with a bully to stranger danger.
Explain to children that they should never get into a car with someone they do not know or do not feel comfortable with. Should somebody grab them, they should kick and scream as loud as they can.
Talk to the parents of the preschoolers. Let the parents know that you will be teaching safety lessons with their kids and they should be quizzing their kids every day to ensure they are learning the important information.
Print out or make about 20 different scenarios -- some that are dangerous, some that are not dangerous and some that don't seem dangerous but really are. Hold the pictures up and have the children say if they think the scenario is dangerous or not and why.
Make a handout for each student that shows two columns: 10 pictures of danger scenarios on one side and 10 resolutions (one resolution for each scenario) on the other. Using a crayon, have each student match the dangerous scenario with its matching solution.