Don't forget the Notoriety rules.
If the runners are doing stuff in an unrunnerlike fashion, that tends to get them high Notoriety pretty quickly. As one of my own characters was built with intentionally high Notoriety (long story), I can tell you, when used properly by your GM, it can cause trouble.
Your characters will rapidly take a dislike to people recognizing them, getting asked "Hey buddy - shoot any nuns, lately?", big thumpin' dice penalties to all of their Social checks (well, except Intimidate), their Contacts not returning their calls or flat out refusing to associate with them until they clean up their act...
Another way to influence your players is throw an NPC in the party. Tread lightly, here - as a new GM with a new group, it is easy to fall into a situation where the PCs are looking to the NPC to make all of their decisions. Also, a GM should NEVER think of an NPC as "the GM's Player Character".
That said, however, having an NPC in the group to be the voice of reason can be a big help in toning down their megaviolent tendencies. Maybe the NPC isn't much of a fighter (you never want a persistent, in-party NPC outshining the PCs) but is really smart. Maybe nobody is playing a Mage or a Hacker (in a new game, players often don't want to mess with these additional complexities) so your NPC is providing those services (I recommend against a Combat Mage, see above). Maybe the NPC isn't even in the party, but is just a really good Fixer Contact who sets up all their runs. Whatever the case, said NPC could be on-hand (or at least on comms) to nudge them in a more covert, less lets-kick-the-hornet's-nest course of action.
And, of course if all else fails, just kill a few of them. Shouldn't be hard...just allow events to follow to their reasonable conclusion, and don't intervene. (NOTE: This is a very risky option, of course - new players, who are not very invested in the game, might just quit...if you're going to off a PC, generally you have to insure that it's good storytelling, even if they deserve it.)
Shadowrunners can't defeat The State. The State can't defeat a Megacorp. What do you think would REALLY happen if the players noisily and messily offended Horizon? Or Aries? Or the Yakuza? Or a Dragon?
They're ants giving the finger to the magnifying glass. Cook a few, and the rest should start tip-toeing.
-Jn-
Ifriti Sophist