I think it's important to explain use of the head to newcomers; and also to emphasize the fact of heeling, but also the physics of the keel (I use the example of those old inflatable clowns that always stood back up when you punched them.... some of the younger one's don't know what I mean....)
I don't try to dwell on the dangers too much.. the whole experience can be overwhelming enough without that, but I do say to take a cue from us.. if we appear unconcerned then things are probably quite normal.
I also mention that there may be times when we ask them to sit somewhere specific, or go below, and that they should do so as quickly as possible.
Beyond that there Rules #1, 2, and 3:
#1: Stay on the boat.
#2: STAY ON THE BOAT
and #3: STAY ON THE %#@$^&* BOAT
If it's an extended trip, we do something more involved esp if the guests are not already boaters, though that's rare for us.