There are no risks at all when using Swap Magic, who told you otherwise? All you do it put the CD or DVD in, let it boot up, use a slide card (or if you have a slim-line PS2, you have to get a flip top which is just as easy) to open up the tray and put in the game you want to play.

If you have a PAL PS2, use a PAL Swap Magic version. You will be able to play backups, and other region games no problem.