You have rooted your phone, so the first thing you should do, is get yourself a recovery (CWM or TWRP) and make a full system backup. That's important because you will have something to come back to in case you end up messing your phone.
Now, if you plan on installing ROMs based on stock, you can straight away use recovery to install them (the instructions for each ROM are given along with the ROM).
In case you want to install a custom ROM, aka something built from a source different from the stock like the Cyanogenmod or Paranoid or MIUI or something based off on them, you gotta first unlock bootloader. There are pretty nice tutorials for unlocking bootloader using flashtool.
That reminds me, always have a flashtool and ftf file for your phone handy. Flashtool always helps, as long as your hardware isn't damaged that is.
Now talking about risks: There are a lot, but I never faced any that made me lose my buddy.
1) Your motherboard may get fried. Don't worry, it happens 1 in 100 or maybe 1000.
2) Phone sometimes overheats.
3) During installation of a ROM, you may encounter an error and phone may go into bootlop (Go upto logo screen and be there forever). Backups and/or Flashtool comes to the rescue here.
4) Never flash a ROM with the memory swiped (internal -> external exchange). I have seen somewhere that it causes a hardbrick.
A hardbrick is when you gotta go to service centre. Your phone isn't going to start anymore.
A softbrick is when there's some problem with the software. You can fix it using flashtool or backups of recovery. Someone who keeps on switching ROMs (like me
) faces it a lot. Just follow all steps and you will be alright.
In the end, luck has some contribution too