Yes, it is dangerous to install WADs, because they can brick your Wii. With a proper protection (Priiloader, BootMii) you're safe, otherwise, not.
Oh, and like I always say...if you can't take the risk of getting banned/punished in some form from Nintendo for Pirating WiiWare/VC OR Custom Channels, don't do it. Right now, they don't do anything, but this could change (As far as I remember, Preloader was able to detect fakesigned channels, and delete them all as a joke, and this in a very short time) ...