I run it on my L930, and it's fine. There are a couple of niggles still (nothing show stopping), but it works and overall is an improvement over 8.1 You are very unlikely to do any damage that can't be undone (by reverting back to 8.1) which is pretty easy to do (but it's unlikely you would need to anyway). I would suggest you go for it, but after installing, do a hard reset, this will ensure that you have a clean slate to start with and will provide the best experience. Be prepared for it to download a lot of updates after it's first installed and so it will get warm and run the battery down quite quickly for a couple of hours, but once the updates are done it will settle down and should give similar battery life to 8.1 (at least that has been my observation).
The hard reset is critical for it to function properly, so don't skip this step.
What data are you concerned about specifically? There are ways to back up various things, but obviously a hard reset will wipe the phone, so if you have anything critical, you should ensure and double-check you have it backed up before proceeding. The things that spring to mind are text messages, emails, photos etc. If you have a Microsoft account, you should enable backups to your OneDrive account if you haven't already.