How do you teach a five year consequences when he has no fear?

He runs away to the neighbors house. He tells me he always stops and looks both ways across the street. Fortunately it is not a busy street. He is also somewhat of a daredevil: climbing trees and jumping out, tries to jump his bike off dirt hills, tries to climb on the roof of the house. He has ADHD and ODD. I asked a question yesterday about him. I have management for the ADHD and try to be strict for the ODD. I know some of this behavior is just being a little boy, but I also know some of it is out of defiance. I want to teach him a lesson of the dangers of what he does. I have told him that when he runs away that he could be run over or even kidnapped and never see mommy again. He is the baby of 4. I work in law enforcement and have had my Lt pick him up for run away, which he thought was awesome, not scary. The Chief has also talked to him. Does anybody have any ideas of how to help me with this? I am persistant with discipline, rewarding good behavior, etc....