I really need to do some kind of team building exercise before a game, something that they'll want to do, but requires teamwork, just to demonstrate the point that they need to work together.
When my first character did the whole "I'm gonna be all by myself because I'm a lone wolf" thing, the DM let me go off and the totally unexpected happened and my character got into a scuffle he wasn't prepared for, but a group sure would have been.
Oh god so many DMs in the past have done this, and I just roll my eyes every time.
Like I'm okay if you want to roll your own dice behind the screen to see if we get attacked overnight, but that should be the only kind of "roll to see what happens" going on.