It is not necessary to scare them to get the point across. Just use hugs, squeezes, a peck on the cheek, etc. Have them do it over and over until they get it right. This role playing is probably the only thing that will really stick in the minds of young children and help them in the event of someone mistreating them. When role playing, try to incorporate the tricks abusers often use to gain children's favor and trust.
Conditional love is one, for example.
Oh, come on. I need you to come help me catch him. You have to do what I tell you, or else you won't be on the team. Bribing with rewards such as candy, money, or toys is another common lure. I was offered a quarter.