Depending on the age and emotional sensitivity of your players, describe and make your players' characters relate to the harsh environments of Athas in an appropriate manner. Their characters could get mugged, tortured, killed, sold into slavery et.c - adventuring on Athas is no picnic. Be careful not to overdo it though. Use the occasional bad incident to provoke your players' emotions - few things are more cunning and dangerous than a PC bent on revenge!
This is a companion discussion topic for the original entry at http://www.athas.org/articles/the-athasian-game-master