I take a different tack. I informed my players quite some time ago of how I interpret alignment (the short version is that good places others over self, evil places self over others, law places society over the individual and chaos places the individual over society. Please note that this is an extremely abbreviated version of the whole). From then on, they've been on their own. I don't do warnings or 'last chances' or anything of that sort. If your actions are at odds with the alignment on the sheet, then the sheet will be changed, without fuss or fanfare.
For most characters, I change the alignment listed on the sheet (if appropriate) when the character levels up, as I keep electronic versions of all character sheets, and that's when they get redone. For characters without an alignment restriction, or for characters who remain within their alignment restrictions, this is enough.
If a character has an alignment restriction that they're exceeding, I will typically make the change between sessions, and inform the player by email. Thus far, this hasn't actually come up.
The only exception is the Paladin, which has that "if he ever commits and Evil act" restriction. In this case, the penalty is applied immediately. This, also, has never actually come up.
(IMC alignment changes don't come as a surprise. I take the view that your actions define your alignment, not the other way around. So, if you're acting in a manner at odds with the sheet, the sheet is wrong... but it's no surprise, since you've chosen your actions along the way. Additionally, I don't like the notion that a player should modify his character's behaviour to keep within some alignment - he should play the character as he feels is appropriate, and have the alignment assigned that this happens to match.)