The biggest risk is when you load the modified firmware with the bootloader in it. The new installer package is pretty straight forward and most "bricks" occur due to user error in installation.
The new installer pretty much eliminates that possibility.
Each new build of Rockbox is nothing but updated files. So when a new build is made, you simply copy over the files on top of the existing build. This is also easier using the installer.
Should you get a build that crashes the player just boot into original firmware, connect to the computer and copy the old build back onto the player.
Again, this also can be done via the installer.
I actually installed the "installer" on the file system of my player so that I always have it available.
I actually installed RB on a Sansa E280R manually and it was pretty straight forward. But the new installer makes it pretty much a no brainer.