I don't have advice just some observations...and a short story.

So we a started a an SR sessions, only 2 players, me and another guy (lets call him PC2).
During 10 session, we (and when I say "we" I mean PC2) managed to piss-off the Yakuza, Saeder-Krupp, the local Law enforcement guys and Aztechnology. All this without leaving Seattle, and he was actively hunted and eventually someone called in 2 high caliber bounty hunters to take PC2 down, after he killed a few other lower bounty hunters. So he got brutally murdered. He even pissed of the orc underground a bit...and PC2 was an orc himself.
Now the interesting thing is, he never even read a word from any of the SR4 books to this day (or any other SR book). Till session 8 he didint even know we were in 2072.
So after his character died cause of him being sloppy he got killed, as mentioned before. The only thing he learned was: "Higher number on Body, agility and reaction gooood".
My take away from this is that some people learn from death, and some don't. Some people listen to his friends when they tell you, "read the god damn books already", some players characters die even after repeated warnings that "shooting at the Lone-Star squad car", "killing a Mr. Johnson", "sleeping in a secret lab where you just killed everyone that belongs to one of the mega corporations, 2 days in a row", is a bad and stupid idea.
I would say, slowly increase the difficulty.
- Occasional check if they have there licenses and SINs for certain things, as in when they would enter an area where there would be a check, remind them as a GM. "There is a check point up ahead, do you guys have all your licenses, or you want to risk it?"
- The occasional news feeds that talk of unknown perpetrator, and that the investigators might have a lead on them.
- Obvious shadowing NPCs. As a GM I did this once... The 2 guys were steaking out a mobster in front of a high end hotel in the middle of the downtown's rich district...they were sitting in a white van. So I thought I would send out a guy (another mobster), to take a look at these guys. He knocks on the window of the van they roll down the tinted windows, the NPC ask for a light, PC1 reacts and drives away fast. While looking in the rear view mirror the NPC lights the cigar. I couldent have given them more hints that they were being watched...but PC2 didnt noticed and PC1 had to explain it to him.

- A bit more detail from the GM side never hurt, if you feel that they just don't get it sometimes, maybe a drawing of the situation.
- Make them watch, Johnny Mnemonic, Bladerunner, Ghost in the Shell, Akira. So they have some image in there heads.
- If there still being stupid, then well if you cant educate them, well try to have fun your self by inventing insane situations.
* no really, car chases on the high way that only leads to the border.
* sewer level with tons of mutants.
* Chicago
* cranial bombs, watch them go for the books for a solution, on how to get it out... always good if you want you players to read a bit.
* cranial bombs, if you want you players to do what you tell them... bit extreme but hopefully they will notice there in less trouble when the guy who placed the bombs in there heads tells them to "not do this or that".
* and lastly its not always about plot and story, sometimes its all about the fun and improvisation on your and the players side.
Sorry for the long and babbling post...I hope it helps.