Safari is very secure, but more importantly OS X is infinitely more secure than Windows XP (including SP2) and it's predecessors.
First, regarding your specific concerns, you can turn off autofill by going to Safari's preferences (in the Safari menu select preferences, or just type the command key and comma key together). In the preference pane, you'll see a tab called autofill. Select that and uncheck anything you don't want Safari to remember. You can also set your cookie prefs in the security tab. History doesn't have a switch in Safari, it's always on. However, you can download the freeware maintenance utility
Onyx which, among it's many maintenance options, deletes Safari's history.
If you're really worried (and most shell-shocked former Windows users who have been beaten up over and over again by security lapses in Microsoft's software usually are) you can open system preferences (available from the Apple menu item in the menu bar at the top of your screen) and select "Sharing." Select the Firewall tab and turn it on. Next, since your there in the firewall pane, select "advanced" and check "enable stealth mode."
If you do all of the above, you will be more secure on the net beyond the wildest dreams of any Windows XP (SP2) user, and you don't need any virus protection software/updates/gimmicks, etc. You're good to go.
Sometimes, the difference between Microsoft and Apple; the difference between OSX and the Windows OS, gets lost. Malware on the net targets Windows more so than OS X because, of course, it's a bigger target. But it's also an easier target. Years ago, Microsoft basically sat back and watched as script kiddies took over their operating system. Their reaction? Time to enter the video game market. Now, thanks in no small part to MS, malware /spyware/trojanware Inc., has evolved into a billion dollar industry and it's not just script kiddies anymore; there are seriously sophisticated and clever programmers doing the work now. As long as you have the "system registry" and activeX on your Windows computer, you are vulnerable.
OS X has no "system registry." There is no "activeX". The entire OS is based on a flavor of Unix that benefited from years of active development and deployment in University and College campus networks where software that wasn't secure wasn't an option. OS X is highly fortified with a permissions based file system. Windows permissions? Well, they might get around to it in Vistahorn...maybe.
The other major problem in the Windows world is acceptance. Windows users tend to think viruses/spyware/malware are just a fact of life on the internet and third-party security software is part of the experience of turning on your computer. Of course, Mac users know otherwise. Instead of taking Microsoft to task on issues such as activeX and the system registry, Window's user have learned to accept it. In one sense, who can blame them? Microsoft isn't exactly paying attention to them. Notice how much time (and pain) has gone by since Explorer 6 came out without an update. Notice how much time it took to wrench SP2 out of Microsoft. Look how long it's taking just to get a working version of Vista into someone's - anyone's - hands. There's no sense of urgency; insecure software is okay. We'll get around to it one of these days.
If you hang out long enough on the Mac boards, you wouldn't believe the amount of screaming, belly-aching and whining when something comes up that MIGHT become a security issue - if certain other conditions also happened, etc., etc. And Apple hears about it in spades. Nothing like exists in the Windows world - whatever the Windows world actually is, lol.
In any event, Apple has shown that they take the security of their OS extremely seriously, as security updates and patches are issued on a regular basis although nothing threatening exists in the wild. Unlike Microsoft, Apple has put the message out early on - via proactive security patches - that any prospective virus writers or malware developers have their work cut out for them. It won't be as easy on the Mac platform as it always was with Windows.
Anyway, hope that answers your question, lol.
I'm glad I switched.