Just be a man at all times. Actions speak louder than words also. It's easy to say I'd do A if B ever happened, but it's another to actually DO it. God forbid you're ever walking with your lady and she gets mugged, but if it ever did happen you better be ready to chase the guy down and smash his face in.
But you don't need something extreme like that to happen either. There's little things you can do. While crossing the street hold her hand. She will remember little stuff like that. Warn her about certain dangers. "Hey babe, look out for that car" etc.. be the prime decision maker also. She might even test you once in awhile. If you feel something is unsafe, then don't let her do it obviously. Sacrificing can help too, without being beta about it. For instance, you're on a hiking trip and you're both low on water, she looks beat and is about to pass out, give her the last of yours etc..
I wouldn't really worry so much about this too much unless you're really serious, married, or have kids. Having a kid will allow you much more opportunities for this, as she will be paying more attention on how you act and protect the kids rather than her.
-Scars