As a non-healthcare professional (for now), I've done my fair share of 'heavy stuff'. I own sounds and catheters, and have used both. I'm also a huge fan of needles, also a 'heavy' topic.
I know most people here seem to be of the opinion that you absolutely should not try it, under and circumstance. But I am with Lady Anna on this one - Yes it is dangerous. Yes, there is a risk that something could go seriously wrong. But some activities we do are just inherently risky, and we can choose to accept that risk, so long as we are aware of it before we start, and are prepared to accept the consequences should we cause a problem. And sometimes it is worth the reward - but we have to be responsible about it.
My first piece of advice - find a nurse on this site (there are plenty, and I will not name names, but stick around for a bit and you will quickly learn who is who), and have them walk you through the procedure step by step the first few times. It is invaluable help, as they are aware not only of how to do it properly, but also of the complications that can arise, and can help you to seek help if you need it.
Secondly - be ready to seek help if needed. I don't do ANY play without being near my phone, and being ready to dial 911 if I need to. I've never had to, and never expect to have to, but should that day come, I will do it.
Thirdly - Research, Research, Research. Risk-taking is OKAY, but in order to responsibly take risks, you must understand the risks you are taking. This means that you don't just buy a cath and shove it in your dick. Before you do any of this stuff, even taking your temp rectally, spend some time learning about it. Chances are it will be fun and will get you excited, and teach you things you never imagined. There is plenty of information available on this site, so I won't repeat it, there are hundreds more sites as well. Go to your local university library and read the nursing handbooks, read online proceedure guides, read everything you can. Understand the risks you are taking. If done right, caths and sounds are pretty safe - but even in a professional setting, as Mashie said, the risk is still there, and you have to be prepared and understand it before you play.
Yes, there are risks involved, and in order to play safe and sane, you have to understand them. Don't let your excitement drive you to do things which you are not ready for. Use your head. Spend the time, and the effort to play responsibly, and you will be rewarded with many long years of fun play!