"不要玩火" [don't play with fire] was a phrase in Chinese dialect of general advice used by persons of the last century.
Paul's use of the 1st person warning "we" rather than "you" highlights a pastoral shepherding of all within the community, including himself.
1 Corinthians 10:8 We must not indulge in sexual immorality as some of them did, and twenty-three thousand fell in a single day. (ESV)
Paul (2000 years ago) referred to the incident that was nearly 1,500 years before his time in Number 25:1–9. This warning seemed ever-green through the millenniums (3,500 years).
In that incident, the people "sat down to eat and drink and rose up to play" (1Cor 10:7), describing idolatry mixed with the sexual immorality that followed when they followed after a surrounding nation's worship and sexual practices rather than those prescribe by The LORD through Moses not too long ago before they left Mount Sinai. Their grumbling pointed to their dissatisfaction with their God, an insult to Him.
Paul warned that this deviant behaviour was equivalent to "put Christ to the test, as some of them did and were destroyed by serpents" (1Cor 10:9).
REFLECTION: When people do not heed nor recognise God's grace in forbearance of judgment in the hope that there is quick repentance, God's judgment might come swiftly in the time that He set. Challenging God to prove that He is powerful after He has bestowed so much grace, saving grace, is dangerous playing with fire.