It is safe to use, but with every system altering step like this, you should do a backup via Time Machine (slow to restore from in case of emergency) or CarbonCopyCloner / SuperDuper! (fast to restore from due to its boot-ability).
I'm pretty confident that a search on MacRumors Forums for CandyBar will turn up a least a few threads about problems created by using it. The problems are probably due to improper use, which says something about the software design. So, is it safe? Yes, it's safe if used properly. Make sure you're using it the way they tell you to. I only know this from what I've read here. I've never used it myself.
I have no experience with Candy Bar.... but I gotta say this. The more you add these little programs that change the default behaviour of OS X the more chances you have of creating instability.
I used to customize OS X with these little 'add-ons' too, however.... I created an unstable system. I did a bunch of research and... the only time I've had to reinstall OS X was the time I resolved to get rid of all these little "haxies". That was when I upgraded from Tiger to Leopard (did a clean installation and then just added back the applications I needed).... after that... no OS stability issues at all. This was several years ago, when Leopard was 1st released... I was an early adopter I was so keen to get rid of all those 'thingies' that were making what should have been a stable, not-so-much.