All you're doing by seeking lucidity is taking control of your dreams. You're not exposing yourself to any risks, nor putting yourself in any kind of danger. Learning to lucid dream is no more dangerous than learning to play sudoku.

It's like the halucinations you would have on certain drugs, except your mind has a convient "OFF" switch to keep you from getting up and running out the door to escape those creepy-crawlies.

Relax, and enjoy learning to LD.