The paper utilizes climbing practice to examine how risk societies generate risk consciousness in agents. It critiques the cognitive basis of reflexivity, particularly in Beck’s work, and seeks an alternative rooted in embodied practice. Sweetman’s ‘reflexive habitus’ serves as a starting point to synthesize a relationship between Ulrich Beck’s risk society and Bourdieu’s theory of practice. However, it is argued that both Sweetman and Beck overstate the shift reflexive modernity implies. Instead, the article focuses on Bourdieu’s account of ‘regulated improvisation’ to argue that, as fields become more ambiguous, agents must make use of improvisation to match their subjective capacities with objective possibilities. For climbers, this involves a slow development of the perceptual basis for climbing risks. This allows risk to become perceptively controllable, whereby climbers can manage the basis of the risks they take through a host of options, including the length, remoteness and severity of a climbing route.