Tell someone where you're going. Trust your intuition. All common sense. The safest thing is to know your own limits. When you adventure, you do so at your own risk.
Urban adventure has a certain etiquette.
This is just simple respect for the urban environment and good common sense. Be respectful of other people and their property. This adds up to never damaging property, not breaking locks or windows. The less hassle one creates for property owners, the less hassle one can expect to receive. Good adventurers leave behind what they find.