Burn your fingers
Definition 1 of 1
Pro Tip 1/3Metaphoric Pain
Imagine a physical burn's pain to grasp how someone feels after a bad decision. 
He decided to quit his job impulsively and really burnt his fingers.
Pro Tip 2/3Practical Caution
Use it to advise caution based on past mistakes without specifying the details. 
Remember when you burnt your fingers last time? Think twice before acting.
Pro Tip 3/3Severity Implied
The phrase suggests the consequences were serious enough to teach a memorable lesson. 
She really burnt her fingers with that investment – I doubt she'll speculate again.