One approach is to deliberately play a 'game' where players are allowed to place their body though the parachute hole and allow other players to move them about. This gives players some appreciation how strongly the parachute could pull on their head.
Another approach is that when explaining that players must not put their heads through the hole is to, with a little warning as possible, yank on the parachute. Most of the players opposite you will find the parachute pulled off their knees (most will not be holding it tightly). Ask the players to imagine what would happen to someone whose head were in the hole.