In my place they have policies concerning cheating ("academic honesty code" or something like that) readily available online and they suggest that we include the reference to them in syllabi, which I find quite a reasonable idea for lower level courses. Usually it is enough to say that you would merely follow the rules to the letter if you catch somebody cheating (and to keep your word at least once) to scare the students enough.
If you want to be on the nice side, try to explain to them that the only persons cheaters can really cheat on a long run are themselves. It is not too hard if they take a course in some subject that later will become their bread and butter (like ordinary differential equations for engineers) and next to impossible if you teach something like business calculus for future administrators and politicians.
Explaining that learning is not just about memorizing the stuff that
will appear on the next test with the intent to forget it right after is a great idea, but, to be honest, I have never succeeded in such explanations. Maybe I'm doing it from a wrong end, but IMHO, one needs to slow down quite a bit on many undergraduate courses and to stretch them over twice longer time periods doing plenty of recitation sections to convince anyone that learning is what you really care about. Also one should think carefully
about what and how to grade because once the grade is involved, it immediately becomes the primary objective function to maximize, and you can then sing like a nightingale all day and night long about why grades are not the most important things without being listened to by anyone.
One more thing to keep in mind is that cheating is just a form of cooperation and you may try to encourage other, healthier forms of cooperation like study groups, class group work, etc. to reduce it.
If you want to hold a conversation about academic honesty, it makes sense to remind the students that cooperating and helping each other are excellent things in general, only they should happen not on the timed test in the class and not in the form of mindless copying other person's work.
At last, one has to accept that cheating on the courses a person is forced to take pretty much against his will has always taken place and will, probably, always take place. The hardest attendance, academic honesty, etc. enforcers in the former Soviet Union were the teachers of the history of the communist party and scientific communism and we cheated like crazy on both subjects. Our history of the communist party professor was quite a reasonable guy and just told us that we should know what he tells us well enough to pass because if we could not memorize it, we would, probably, have no chance to absorb mathematics either. That was a relatively fair game. I don't know if you really want to be that blatant but it is always worth keeping in mind that in reality you cannot offer any better explanation to some of your students as to why they should take your course, and this fact has some bearing at least on my own attitudes.