What would your child do if they were lost?
Do they know their name, your name, their address and phone number? Can they call 911? Do they know who to ask if they are lost?
If your child is lost in town, a store or street or inside a building, tell them to look for a person with a name tag and tell them they are lost. If they can not find a person with a name tag, teach them to go to a woman, especially if she is older or has children. Women are (statistically speaking) safer than men and easier for a child to approach.
If your child is in the woods while hiking or camping, or other outdoor outing where other people are few and far between, always make sure they have their personal kit, or at the very least, a whistle around their neck or wrist to blow in case they are lost or in danger. You can make more noise longer with a whistle than by yelling.
Practice with your child dialing 911 and what they should say, practice answering the phone as if they were home alone, go over basic first aid (unit study on this page) and be sure to answer any questions your kids have reasonably. "Mom, why do you want my fingerprints." "Oh, so the police can ID your dead body." Is probably NOT the way to go. I told mine, "So if you get lost, the police can ID you." When pressed for why they needed to be ID'd, I offered, "So they don't bring me back the wrong kid." There are lots of 'Jake's' out there...
I added their fingerprint sheets to our letterbox stamp collection to make it more of a game. I measured their height marks on the wall instead of the kids themselves, we all lined up to get weighed to see who could drive the mower this year (a coveted job requiring the rider to be over 100 pounds-I always get to mow). Kids can get freaky if they think you are getting ready to lose one of them. Don't line them up and 'process' them, make it as light as possible.