I was hesitant at first also...but looking back, I dont really know why. There is no concieveable way to brick your phone...the most you will have to do is plug it into itunes and restore, or hold down the home and power buttons to get the "connect to iTunes" message, which prompts a restore.
Ive restored and hacked my phone probably 10 times, with no problems. Start enjoying your phone! lol 😛