So, at some point in time in your gaming you're probably going to get the urge to run a kind of game, or at least a few sessions, where you are expecting a high level of lethality in the game. This could be going for a war story, or you are just going for a cinematic feel. The problem with this kind of thing is that you can very easily end up cycling player characters rather rapidly in doing so, which can do a number of things to the game such as completely derailing it, as no one who was there IC-wise for the original plot is around anymore, or people just stop having fun and stop trying to play their character because it's just going to die and get cycled again within a week or two.
On the assumption that this isn't what you want to happen to your game, here are a few methods to help give your game a feel of High Lethality, without all the risk and fuss to the full structure of the game.
Drafted Into The Army
This is less of a way of protecting the characters as holding onto the plot. With the PCs in the military, unless a PC is leading the army, you have oversight over the group, and thus are able to assign the surviving PCs onto missions to get them back into the story. This makes a game where the GM has more control over where the PCs will be going than in other games, which can be a good thing but you also need to make sure you give the PCs their chance to shine and do their own thing as the game progresses. Though, if everyone is looking for a military game that is less of an issue.
The military game also makes it easier to get people into the battles, and as said above, to the plot points you need to have happen. They just get assigned to those locations, fight, survive, do their thing, come across the plot points and hopefully tell the story. These kinds of stories, even if telling a grander over-arching plot should also have a sub plot about the PCs unit itself. If you are doing the high lethality fights right, there will be a sense of relief as people survive, friendships between characters will form, and people dying after surviving hard spots will have an impact you might be surprised to see. After all, everyone is expecting someone to die, but no one is expecting that Captain Martins, one of 2 of the original unit members and survivor of more suicide missions than any man before is going to bite it on a routine patrol mission.
Have a Larger Game
Most games are 4-6 players, but if you want to run a game where you are expecting a high lethality rate you might want to re-size the group to 7-10 players. The larger number of players means a bit more work for you in managing combat and approving characters, but not as much as you'd expect when it comes to handling things between fights. At least, not as much provided you know how to stream line things. However, stream lined right, and especially if combined with the military game, you can keep most RP being done between the players, with the occasional aspect outside and direct issues and other acquisitions and such up the PC chain of command to the GM.
With a larger game, you have a bit more freedom. A PC death a session means that only about 10% of the players are cycling. Even with more death, unless you totally wipe it is harder to end up in that situation where nobody remembers what brought the group together in the first place. However, you also need to be careful, it is very likely that you'll end up with a small group of the players who end up constantly dying because their characters are the new people, and thus not meshed into the unit and not as important if they die. I'm not saying to aim for the older people, just make sure you are giving a fair shake at the danger to everyone. If someone constantly survives because they come up with great plans, pull off crucial rolls, and/or other people save them due to their value to the group that is fine. If one person keeps surviving because they've been alive since the beginning and you don't want to take away a character that has managed to live so long, well, then you're doing a disservice to everyone else who has had their character die over the course of your game.
Kill the NPCs
If you don't have a larger game, but want to do High Lethality, give the PCs some nameless NPCs. Again, this works great in a military game, because if the PCs are in a unit then there are going to be NPCs assigned to the unit as well. Name a few of them, keep more of them nameless. Give the named people characters, connections with party memers, play them up and try to make them alive. You now have a couple of blankets to use to help 'protect' the PCs from initial strikes while still getting across that the world and this situation is very dangerous.
The PCs being the only 4-6 survivors out of a unit of 100 is fairly epic, and that happening a few times will help give them the idea that things are close. It may also give them the idea that they're invulnerable. However, if you play a few NPCs right at key times and they have a personality, that 1 NPC dying, even if they were disliked, can have more impact as to the lethality of the world than any number of nameless mooks.
Using the two together can get a lot of things done for you. Want to ambush the PCs but don't want to risk 1 shotting a player right off the bat? Put down the dice, and just GM fiat 1 shotting a nameless NPC or two. A more serious threat? Go after one of the named people. Keep people updated as the rounds go by as to how many of the NPCs have died. The players themselves will probably be keeping track of how many they've killed as they scrounge for any advantage that they can get their hands on.
Cycling the NPCs can put a lot of work on you, which is why I recommend just doing a few, and when they go make it special. If you want to make it easier for yourself, and are doing a larger game, assign them to a player you trust to 'get them' after an introduction, and let them play them for the social scenes. if they are having issues, you can give a helping hand, but the player will give them a life of their own. Why not let them? You're busy enough with everything else you are doing. You'll also be amazed at how little it can take to give an NPC life, and how much players will start to care about them, even if all they are is a named mook.
Make the Players Strong
Another way to handle the feeling is to make the players strong inside the world. This works better as an additional layer of protection for the players, but make them powerful in the world. People will die around them, but if you get across that they are stronger than normal the feel of lethality will still be there. You need to be careful with how you describe things in this though, don't have a 20 damage hit be a "solid blow against you that you shrug off" but instead, "you duck and twist just barely avoiding getting skewered by the sword". You want to play off that getting hit for real sucks and will kill you, but they're just avoiding it.
Keep the tone serious, and your players won't go off like they're gods on the battlefield. Make them respect the situation, and just point out that they are highly competent, and you will get similar treatment back from them.
High Difficulty, Low Wounds
This is more a mechanics way of handling this. But if you look at movies (especially ones like Star Wars) you'll notice that getting shot for most people is a deal breaker. You get hit, you're out of the fight if not completely dead. However, main characters don't get hit all that often now do they? How do you do this? Easily. Give your players a high chance of being missed, but low wounds compared to the weapons being used.
If a hit from a mook, however unlikely it is to get through, does half or more of your wounds in damage. You feel every near miss, especially when the GM is describing them as near misses.
High lethality campaigns are hard to run, mostly because eventually you'll find yourself cycling PCs, and when those are the PCs you were counting on for future hooks then you have to go back to the drawing board. That being said these campaigns can get a lot of drama and tension going, people will start caring about their characters, hoping they survive, and you'll feel it yourself as you set the opposition against them knowing you have to play the enemies fairly, but wanting the PCs to pull through somehow.
Keep these notes in mind if you are going for a High Lethality game. They honestly work awesome when you combine all of them in the same game. Either way, if you're going to do this with your players you should discuss what the possible consequences of a high lethality game are and make sure they're ok with it. If you know your players well enough otherwise, just have fun.
either way, Happy Gaming