I would have to say the risk of fire is probably comparable to cooking. If you put a pizza in the oven on high and broil and leave it, it will catch on fire. Same with the plastic. It's not something you want to leave unattended or do without some knowledge. You need to take safety precautions. There is some pretty good information on this site, Tackle Underground has even more info. I've seen plastic up over 400 degrees with no problems, and there's not a reason to ever get it that hot.
You absolutely need a thermometer and to know your heating source well.
nbarnych (Nick) is a fireman so I would think he is correct in knowing the proper method to extinguish.
The bigger thing I would be looking at is what are you going to be doing? Most are not heating more than a 1/2 cup - to 4 cups at a time. This is a pretty manageable amount. I would think a metal pail to set over it would also extinguish it as well. With that said, a little research and paying attention to your temps and it's a non-issue.
You should take some time to watch some of the videos and read some of the articles. I would say ventilation, respirators, proper safety clothing, etc. would be much more of a concern for what most are doing. If you are heating up more than 4 cups of plastic at a time and needing to exceed 400 degrees I think you are traveling into a commercial realm that isn't going to be adequately addressed here.
The MSDS for our plastic is on the product page. You should review it as well as any plastic you are going to use. It covers the major safety items.
Don't hesitate to call if you have additional questions or just want to talk through what you are interested in doing.
Thanks,
Jason