The danger commonly associated with building a tube amp is only really there if you don't get it right before powering up the first time, right?
With that much voltage inside, there are always going to be risks.
I don't think it's a great idea to build the entire amp at one go and then power up the whole thing. I build and test one functional block at a time.
I first build the power supply, then test it; first continuity and resistance tests before power is applied, then apply low voltage AC with a Variac, or use a series light bulb for protection if you must power up with full line voltage. Wear safety goggles and Class 00 (500 V) or Class 0 (1000 V) electrical safety gloves. Final tests are with a voltmeter, with the power supply powered from a 120V safety isolation transformer.
The use of an external safety isolation transformer is rarely mentioned on this forum, but I learned from a forum frequented by well trained and experienced tube techs and electrical and electronic engineers that it is a vital piece of safety equipment. Among other things, it can prevent the destruction of your test equipment in case something is wrong with the amp you're testing.
Once the power supply has been built and tested (and all caps fully discharged - I always add bleeder resistors across each filter cap), then I build and test the output stage (power tubes, output transformer, fixed bias if any). A dummy 8 ohm load is used instead of a speaker. You must understand the circuit well enough to ensure the tubes are safe - the bias voltages and currents must be correct and present to avoid damage to the tube. You cannot leave out grid stoppers or grid bias resistors, for example.
After the power amp has been tested (that includes setting bias currents and checking all voltages), next up is the phase splitter.
The phase splitter gets the same treatment, and once it's working and passes all voltage checks, I build the input stage to the power amp section (the driver for the phase splitter), if any.
At this point you have a working power amp. You can even play your guitar through it, by using an external stomp-box or two as a make-shift preamp. I like to use a Danelectro Fish-n-Chips EQ pedal, because it provides both EQ (tone controls) and (perfectly clean) gain.
With the power amp built and working, I start on the preamp. With the preamp, you can either start at the final preamp stage and work backwards towards the input, one stage at a time, or you can start at the input, and work towards the output of the preamp, one stage at a time.
Obviously, to avoid internal damage, you have to make sure both triodes inside a 12A*7 tube are properly biased before you apply power; that means you add enough external components to keep the triode safe, even if you're not yet putting that triode into the signal path. In a preamp stage, both control grids must be properly grounded, and if one triode is unused at this point, ground it's cathode and plate as well to keep it happy and safe until you bring it into use.
By building and testing each stage in turn in this way, you have a chance to catch any mistakes you make, one at a time. This is usually relatively manageable.
If, on the other hand, you build the whole thing in one go, particularly if you're inexperienced at this, you may have multiple errors and mistakes to fault-find, and that can be a very difficult job even for an experienced trouble-shooter.
Divide and conquer. It worked for ancient Roman leaders, and it works for contemporary amp building even better!
-Gnobuddy