On the DVD he goes more in depth to where he gets his information. He consulted some doctors, and apparently it's completely safe. The amount of stuff inside of the gimmick isn't enough to harm you, even if performed often. However, just to err on the side of caution, he suggests not performing it TOO often.
From what I've heard, it was pulled from E because of complaints from parents, and fear of lawsuits.
Also, apparently it's going to feel uncomfortable the first few times you do it, but that doesn't last long.
From my experience, I was never able to get used to it, I'm guessing because of my allergy to smoke (cigarette smoke, but I wouldn't be surprised if it extended to this). My girlfriend, on the other hand, was able to perform the effect flawlessly without feeling uncomfortable beyond the first try.
So, it's really up to you whether or not you'd like to give it a try. If it's still uncomfortable past the first day or so of trying it out, I would personally pass on it, as I tend to err on the side of caution when it comes to my health.