I hate to disagree, but thats a tough one to get into school age children.
You are right...they are not fully able to deal with the concept, although somewhere between 15 and 25 it usually begins to click. But we lead them in that direction. "You choose well, you succeed. You choose poorly, you lose, and the consequences may go much further than you mean" are lessons that require repetition and experience to really master.
well you don't get it into them on a grand scale, you point out in every day situations where some action or misbehavior on their part led to some consequence that they are not happy about. eventually when they are grown, they can then make the connection on their own, if you continually point out that, gee, too bad you can't do such and such that you really wanted to, bc of X which you decided to do. i always tell mine they can CHOOSE to do right or they can choose to do wrong and they will have to bear the consquences, regardless of what it is. they have to be taught that the choice is affirmatively their's regardless of what sad/bad/traumatic things that happen to them.