I ran many campaigns (lasting at least one year, more than 40 sessions each) where the PCs were living at the fringe of society, with fake idea, good hideout.
They were not crimal, but mages (in modern area), hence with ressources that only government operatives could hope to match. However, I made it clear from the beginning that they were fully responsible for their acts. If they were stealing some rare books, better be sure that they was no evidence left (or not enough at least), if they were killing somebody, even if it was an evil guy, it is still considered as murder by the law and so on.
To emphasize the point, they met once with an operative from the Vatican's Inquisition (super secret nun with big... guns).
So they were fully aware that there was some powerful players who could take interest in them and their actions if they were not careful enough.
Finally, after stepping once too many time on a big-bad corporation's toes (for the good cause, they were 100% morally in their right, but 100% illegal action: bombing of large facility), said corporation send a swat team to bomb their house with them. PCs manage to escape but lost all their precious belongings. I did not do that to "punish" them for being inconsequential, but because it was simply logical. In their last raid against the corp, they left enough evidences to be traced. They were aware of that, but decided that it was more important to stop the corp than to save their covers - a very "lawful good" choice, however, there is no "poetic justice" or divine help to protect them from the consequences.
In your case, I would stay there is various steps (some mentioned by other in this thread):
- First, out of game, make it clear to the players that there is consequence to their action - by repeating this warning, they cannot blame you for being a dick by swarming them and sending them to jail;
- Second, in game, make them have a run with some big guy from the side of the law. It is to make them realise that there are some people around looking for trouble makers like them and it does not matter if they are doing it for the greater good, there is the LAW (think of Judge Dread). No need to make them fight this guy, just met him and realise how tough life could become. And this guy might pretend to be friend with them, but he will always but the law or is organisation first;
- Finally, pull the trigger. Show them that you won't hold your punch, roll dice in front of them, set up an ambush with realistic resources: if they are wanted for several killings, and there is proof that they are often heavily armed, sent SWAT team, helicopter, snippers, gas, everything. If they manage to escape, they will be on the hunt, the bank account frozen, their friends/contacts under surveillance. It can be the beginning of the new chapter of the campaign. Think of the TV show Supernatural.
Now, reading what you wrote, you might have to jump to 3 directly... And you can decide if it is the end of the campaign with these characters and follow this campaign with new characters, in the same settings. The new PCs could have witnessed the arrest of the old PCs, they might interview them in their high security prison to take over were the story was.
Recently, I run a game where one of the player always putting himself in great danger, to be more heroic. I already made the comment once to him, and this time, his character was close of dying. I did not kill him, but I made sure that because of his action several NPCs died, one which was very important, hanging with them since the beginning of the campaign and a trusted, competent ally.
The next game, he told me that yes, he would be more cautious, espscially when he admitted that I could have killed him without "cheating".
By the way, I always roll my dice open, it helps keeping the player honest
