Goal 1 when developing Rockbox is always to ensure that it's as safe as possible. This almost always means that one of the earliest steps in the process is separating it into two parts:
"The bootloader" is the part that rarely changes, and is the most 'unsafe' bit - we get one working well and safely, and then we don't change it unless absolutely necessary. You install this once, and then don't repeat that process unless there are essential changes. It's usually quite well tested, and very safe.
"The build" is the part that is updated more often. It's also very safe, but may occasionally be unstable (crashes or freezes) but is easy to replace with a different version and is pretty much designed in such a way that even if something were to go catastrophically wrong with a build, you can recover your player with just the bootloader (which happens before the build is loaded) so a bad build just means you need to reboot your player, and recover it from the bootloader.
Basically, while we can't promise absolute safety, quite a lot of thought and effort goes into making sure that the very worst possible outcome is almost always a decision that someone just doesn't like Rockbox after all, and chooses to uninstall it.
That being said, it can be important to follow the directions closely, so if you ever feel uncertain about what they're instructing you to do, or feel the urge to say "I guess this is what it means..." it's probably best to go ahead and ask to make certain, especially if you're nervous. We definitely prefer "I read the instructions but I'm not sure what this sentence means" to "I read the instructions, and when it said X I didn't know what it meant, so I did Y, and now I can't turn it on."
Rockbox takes up very little space. I can't give you an accurate amount, because part of it depends on whether you install extra files like games or fonts or themes, but Rockbox itself shouldn't take up more than 10 or 20MB (I'm guessing less, but I don't know any more, and I feel better over-estimating).