He said to me, I have often told you not to play with fire.

He said to me that he often told me not to play with fire.

He said that he has often been telling me not to play with fire.

He told me that he had often told me not to play with fire.

None of these

The correct indirect speech conversion is:

"He told me that he had often told me not to play with fire."

This conversion accurately changes the present perfect ("have often told") to the past perfect ("had often told") in reported speech.