For this story you will need two pine cones..One should be the biggest, pricklist, most hard and tough pine cone you can find. The other should be flatten out by a car, maybe you will have to drive over it yourself if you can't find one on the road (or at least hit it with a hammer until flattened).
Hand the full, tough pine cone to your child. "This pine cone grew way up on a tall branch of a beautiful pine tree. He could see for miles and miles where he sat. One day in a big windstorm he fell down, down, down to the ground with a crash. Does he look hurt? Not really, he is covered with hard scales that protect him from harm. If you fell that far you would probably be really hurt, but not this pine cone, he is tough and built to be strong. Can you feel how strong he is? Can you crush it with you hands? Not really.
I feel like when it is a safety issue sometimes you have to be graphic and strict on the rule. This was an important rule to me and this visual worked really well. For months afterward the boys would point out squished pine cones on the road, "Uh, oh, wait for mommy."