Well, yeah, any update can brick your PSP. But that would only occur if the flash rom of your PSP had a bad memory block in a certain location. It's rare, but it does happen. For the most part, its pretty safe to mod one. I've done about 4 of them just to see how easy it is. I've only seen one throw a pure fit and that was CoFree's first slim. It had a bad memory block though. But he got that taken care of.
Yup, to mod it, you'll need a pandora set. The bad thing about that is, to create one, you'll need access to a PSP that is already modded. I just posted a guide on creating one in the psp guides section the other day. There are folks that will make a set for you by mailing them a spare battery and pro duo memory card. Some charge money, some will do it in exchange for a memory card or an extra battery (Barter for a living anyone?

) you can even find a few that does it for free, but if I know you lilrevuk, your gonna want to figure this out on your own.
From what I've read, there is a way to create a pandora set without having access to an already modded PSP, but I have no way of testing it.
Here is a
LINK to that guide. Maybe if you go through it and get it to work, you could work up a guide to put up here? I do know that the download feature of the Pandora GUI that this guide is talking about doesn't work so you'll have to download that seperately. There is links for official Sony firmwares hosted on an external site in the psp download section as well.
Anyway, hope you find the info helpful and if you have any questions, just let me know.