If your players are used to forgiving genres, it might be a good idea to run a test combat or two to demonstrate that being shot once is
bad news, taking cover is important, and so on. Old habits can be hard to shake, and it sounds like you don't want to work through two or three parties until the players stop being tenderfeet.
Edit: Here is a famous fictional description of the problem from the 1990s, when the Knights of the Dinner Table tried Cattlepunk
http://www.kodtweb.com/2016/06/10/the-wild-riled-west/
It sounds like you already made that choice when you wrote your character creation guide. If you want the PCs to be the guys who have long serial adventures, its a good idea to give them advantages like Luck and Serendipity. If you want them to be random people who
might die from the first rock thrown in the riot or
might survive untouched, then don't.
High points can somewhat mitigate this, but by default GURPS is like real life- sometimes the professional boxer is sucker-punched from behind, falls badly, and dies.
Stories, whether academic histories or the pulpiest novel, tend to be about people who have the bad luck of getting into trouble and the ability and good luck to get out of it. The guys who drop out along the way, or die from being kicked by a horse or drinking unclean water, tend to be pushed to the side.