Should we as Christians warn others of spiritual dangers?

Yes, Christians have a responsibility to warn those around them of the spiritual darkness that they either are in or walking into.  As ambassadors of Christ God has placed the obligation on us to warn the wicked of their ways and the righteous of their falling; if we do not then their blood will be on our hands (Ezekiel 3:17-21).  We should do these things in love, not in malice or hate.  Those who you try to correct may not like it and may lash out at you for pointing out the truth to them, but if we do nothing then our soul bears the burden of their folly.  If you see a person who is walking through a spiritual mine field, be there to guide them out.  You never know what the end result will be.