I think it's all about the character, really. I have one in my Reign of Winter campaign that's an Orc Fighter that became "The Bear King" because he put a bear rug on himself and decreed it so. I let him live a combat he absolutely should not have because he went for bad-ass factor, and the character is actually a good source of entertainment.
If it's a newer player, though, again it can go either way. First session with him, be gentle, but a nice talk afterword is always good. "Son, I know you want to stick the fork in the electric socket, but if you keep doing that, daddy's gonna be short a child".