I have been handloading since the 60s and have not managed to blow myself up yet.
I started because I like to shoot oddball calibers and miilitary rifles. I continue because I'd rather save 75% or more on ammo and I still ejoy shooting 32-40 and such. It is fun to shoot the old guns, and some of the new ones with nice light loads.
There are two or three things that you should consider before you start handloading. First, don't think for a minute that you will actually save any money by handloading. You will spend every penny of your savings buying more components and equipment and shooting more.
Don't cut corners when you buy your equipment. Buy the best quality that you can reasonably afford as you will use it for decades after you have forgotten the initial expense.
Start with a couple of good manuals and actually read the darn things! I find the Lyman, Lee, and Hornady very usefull for beginners and experienced handloaders alike.
A single stage press, like the RCBS Rockchucker is a good press to start handloading. Remember that what you are trying to do is to load one perfect cartridge, and then repeat the process many times. After you have mastered the basics of handloading is the time to start looking at progressive presses. The single stage press will continue to be the best solution for load developement and small batches.
If you have any questions, I'm just a PM away.
Based on experience just about as long, I heartily endorse everything in this reply.
There was a time when I was an active PPC shooter. Matches were 150 rounds; practice sessions were 300 rounds. I had no trouble keeping up with a Rockchucker.