There's two methods taught in Thread. One is totally safe, the other (Which is the main method Wayne uses) is mostly safe. However, since it's actually making contact with your eye, it's not possible to be 100% safe.
If you follow his directions exactly, you'll be fine.
What I'm most worried about is that I've seen a couple reviews saying that it'll hurt a bit and that you'll need to get used to it. Is there any way to describe it further without giving it away?
There's two methods taught - the "geek" method and the fake method. The "geek" method involves the thread touching your eye - if you have sensitive eyes, that will be uncomfortable. I can't do it, because I have super sensitive eyes.
It's important to follow all of Wayne's suggestions, particularly in regards to which thread to choose.
I've bought the tutorial; is there any chance of the thread getting "stuck" or go somewhere you don't want it to go in your eye when using the geek method?