I've done TONS of work with my dremels. I've burnt through 4 of them in 2 years, in fact. Yeah, air tools would be better with that much use, but I just cant get off the dead presidents to buy a air compressor and replace all my electric tools with air tools. Mostly I dont use them on guns and gun parts though... thats a hobby and I want to take my time and use hand tools... I dont own a business or nothin, I jsut tinker ALOT with wood and metal.
I've had many of the grinding stones explode. Hundreds of them paper thin cutting wheels. Sometimes while working aluminum, sometimes on steel.
IMO, it isnt a problem so long as you wear saftey glasses. Usually chunks of them hit me in the face, but they only leave red marks for a few hours... they just dont have the mass to hurt ya, unless you were to get one in the eye.
And in the case of cutting wheels, them fiberglass re-enforced ones work wonders, never had one explode, and you can use the sides of them to grind with, doing that with the other type will lead to instant 'explosion'. They also have the advantage of being a bigger OD when you start... makes it cut through most material quicker cause for each revolution, its got more area. If that makes sense (example, 30 inch tires on your truck with the engine at 2,000 RPM in 5th gear will move you faster than 28" tires at 2k in 5th)
EDIT: However, I can definitly see the concern with larger wheels, like bench grinders and such. That I'd not attemp, a 1/4 of one of them hitting you could get nasty. I'm just talkin 'bout the little dremel stuff.