I have a 4-year-old daughter who's a little too independent for my comfort level yet I don't know what to do about it. For example, one of my older girls is in Girl Scouts. Last weekend we were delivering more cookies and I'd just mentioned that we needed to take some boxes down the street to a neighbor. Just when I'd thought to text the neighbor to say we were coming, my 4-year-old was knocking on her door. In this case I know the neighbor and trust she's not a serial killer or pedophile but what about the next time my independent daughter just walks out of the house without telling anyone?
Your daughter is a pistol but you need to scare her straight. Without traumatizing her with the "Stranger Danger" conversation, you do need to make it clear that not everyone in the world is as nice as your neighbor. Tell her that bad things can happen to kids when they wander off alone. Not only are there creepy people out there but she could get lost or attacked by a dog. Set a house rule so everyone has to mention where they're going before they even step into the back yard to play, and make them stick to it. You too. If you need to run to the store for milk make sure, even if dad is home, to lead by example and tell the kids where you're going.
Good luck with that one!