In my campaign, I let the players know about taxes in the campaign guide, made available online before session 0. Most taxes are import/export tariffs on trade goods, which generally won't affect them. Everyone has to pay a tax based on their profession, and that's mostly handled in lifestyle expenses/downtime. Walled towns and cities require payment when you enter and exit, but that's not really a big deal. The big deal is the 20% "recovery tax" levied on anyone who brings in wealth from adventuring. It's not something that's going to come up directly, but as the group starts to get wealthy, people are going to notice, which will draw the tax collector. Then they'll have to pay based on the estimate he offers (or bribe him to lower it, which is common).
Humorously, in my last campaign, the party was VERY strict on paying taxes. Not only were they somewhat part of the government (Elders of the realm, plus a Knight Bachelor), but they regularly used Teleportation Circle to show up in the equivalent to city hall. Not only did they have little incentive to cheat, they really couldn't hide it anyway...