No it is not dangerous to use hypnosis or self help hypnosis.
Hypnosis is a state of focused concentration, very similar to day dreaming. Is the ability to concentrate in one point and forget anything else.
Of course never do o listen to self hypnosis audios while you are driving or when you are doing something that requires your full attention.
And like any other techniques can be a problem is used for some one who doesn’t know what he/she is doing. The technique is safe. You are always in control.