The best way is to start with a conflict that has actual stakes, not just "I try to kill you!" That puts a failure condition in the game inherently, that the players can be aware of.

"The orcs are trying to get the Luminous Statue of Lumina." Great. You can even nudge the players that if the orcs get the statue, they'll probably be more interested in that than killing the characters. Nudge them more during the actual combat if things seem to be tipping towards the bad guys.

Really, I can't imagine running a combat where player defeat wasn't on the table. If there's no way that the players can lose, then why even bother?