The absolute worst that can happen is that the dreams become nightmares. But being lucid means you can easily face this, therefore as long as you are in control there are no negative effects to lucid dreaming.
www.ld4all.com has a few good tips, as well as a helpful forum and background info. If you don't like that there are tons of sites if you search on google.
I've been listening to this file for a couple of weeks and i just had a lucid dream in two consecutive nights. I just simply realised it they were dreams and i became lucid.