As Salaam 'alaikum wa Rahmatullah
I think it is hard to give generic advice on this matter because can often be situation specific. If you know someone is going to commit mass murder then I would say go to extreme (halal) lengths to prevent it. But in most cases you should consider the person and not the sin itself. And by that I mean don't become the "sin police" to people over whom you have no authority (as a teacher, father, imam, sheikh etc). Instead become a friend caring about a friend. From brother to brother, sister to sister we must always approach people kindly, and get to know what perspective they are coming from. The art of giving advice requires timing, ettiquete, wisdom, and mercy.
You will find that some people are trying to make improvements in their lives. For some people this means gradual but lasting changes. Don't expect people to move from A to Z in an instant. If you approach people with something they are not yet ready for, you can cause more harm than good, or at the least be ineffectual. For example: If it took a lot of courage for a convert/revert sister to come to a masjid for the first time, it is probably not the time to tell her "what is that nail polish doing on you nails, your wudhu is invalid". Maybe at that time she just needs to hear "salaam, welcome to the masjid". People who show kindness and real concern for others, are most often the ones that other come to seeking advice.
The best example is with our Prophet (SS). He was so gentle and caring, he was loved even when he advised or corrected people.
Hope this helps