When we got together Natalie mentioned how important it was for our kids to develop the ability to tell themselves no. If you remember we went on to talk about how our kids need to hear their own voice in their head telling that some things are a bad idea. This was all excellent thinking on our parts as parents. We don't want our kids to only stop doing things because they hear us say no, they need to experience the consequences of bad decisions enough that they stop themselves from bad decisions themselves, rather than waiting for us to do it. We wont always be around.
I found an excellent Love and Logic handout on the Love and Logic page that addresses this specifically. It is called, "My Parent is so Smart." Here is the link to the whole article, but I will summarize it here.
You begin by stopping yourself from saying, "Don't do that." Instead say in a very calm, almost sing-song voice something like, "Oh, I don't think I would do that." Then go on to say what you think might happen. An example that I had today was I said, "I don't think I would switch to that sprayer (on the faucet when rinsing dishes), it could end up making a much bigger mess to clean up because of the splatter it creates."
The next part is hard, you don't remind (or threaten) about what is going to happen. Let them go ahead and do it. Hope that they do and that it turns out poorly. Then when what you predicted would happen, does in fact happen, you have just set yourself up as a genius. What comes last is key, though. Greet the child with empathy rather than rubbing it in their face. It might feel good to say, "I told you so." But if you do, then they are mad at you, and the learning experience is gone.
If you enjoyed the article I linked to, there are many more available at the Love and Logic website under the parent handouts.