To learn something through a painful experience.
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To learn something through a painful experience rather than advice.
When you learn the hard way, the lesson costs you time, money or embarrassment first.
People often say it to explain a rule they now follow strictly.
"Take It on the Chin"
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Accept a blow without complaining
"A Baptism of Fire"
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A brutally difficult first experience
"Learn the Hard Way"
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Learn it by getting burned