Pretty safe, according to Robert Davidson, collection manager for the insect collection at the Carnegie Museum of Natural History, Oakland.
Many cultures eat bugs all of the time.
Just about every culture except those of Europe, and by extensions, the U.S. and Canada, eat some form of insect or spider. Gordon eats bugs himself. I don't start each day with a bowl of crispy crickets, but I do eat bugs a lot. If the urge to eat a bug strikes, be particular about the bugs you pick up. There are certain spiders or adult wasps that could be very dangerous.