I think I've read all the responses in this thread...
Much of the discussion here has been quite helpful. One thing I've realized is that I'm a much more experienced gamer than my players (all of whom I know very well), and I *think* they'd enjoy playing a more serious game if they'd "let themselves". Some people don't have much experience with role-playing, and it can feel very goofy at first. Some people even use humor as a defense mechanism to avoid deeper engagement (like me!).
So... having a direct conversation with my players is a good idea, but part of me wants the joy of serious role-playing to hit them like a flash of revelation. Does that make sense? Like the joy of any other discovery. It would be more fun to draw them in slowly than to just ask them to be more serious because I'd enjoy it more. Has anyone ever seen that happen? Seen a new player suddenly cross some inflection point and really "get it"?
If you are looking to slowly draw them in, then it should be simple. Make the world match their level of immersion, and as they get more comfortable, the level will deepen. Continue sliding the scale along with them, never trying to push them faster than they want to go, and it will happen. Eventually, one of them will want to play a more serious character, maybe an Orphaned monk, or the last surviving barbarian from a far away tribe. Have the world react appropriately, as mandated by the level of immersion rather than as if the world were real already.