This is a good question! I'm getting ready to begin running a city campaign, and I'm hoping to help do this through the changing of the guards.
At least in the character's home neighborhood, they will know its Second watch when they see good old Officer Barbrady telling the crowd "nothing to see here, please move along."
In urban areas, did people really call out "Seven o'clock and all's well!" ?
Also the Steam Gnomes might actually have a time-keeper in the city, but I'm still reading the book.
I really don't know how life in the medieval cities really was, Did shops really close up at dark every day? I might have to make this place a little more progressive if that's the case, especially if these characters are all wanting to be part of one guild or religion or something at the start of game...