The Dremel cutoff wheels are small enough to fail without a great deal of danger, but a good pair of safety glasses (with side shields) or a face shield should still be used. It's the big ones, 3,4,and 4.5 inch designed for mini angle grinders that can get dangerous due to speed and inertia. Those things are downright scary. Another hazard is losing control of the tool and letting the spinning wheel contact skin or clothing- - - -it cuts deep and leaves nasty residue in the cut in an instant.
Jerry