Having lost their heads, they are in danger of losing their heads.
…………..
Addendum 1/9. It is a nice literary question whether the above formulation is superior to
Having lost their minds, they are in danger of losing their heads.
I like both formulations but prefer the first because it exploits an equivocation on 'lose one's head.' Logical heads shun equivocation like the plague, but it has its literary uses and charms.
By the way, the sentence immediately preceding features the figure of speech known as the synecdoche.