It's safe. You won't burn anything out. All modern CPUs have thermal throttling and thermal shutoff. If it gets too hot, it will underclock itself to reduce the heat. If it still gets too hot, the system will automatically turn off.
It didn't always used to be this way. Back in 2001, Intel first added thermal throttling. Toms Hardware made a famous video demonstrating what happens if you remove the heatsink from a running Intel CPU vs AMD CPU (which didn't have thermal protection). The original video has passed on to the great bitbucket in the sky (404 error), but someone has uploaded it to YouTube.
http://www.youtube.com/watch?v=zgwu6X-QZ7U
Anyway, CPUs don't burn up like that anymore (unless the thermal protection malfunctions). Just watch the temps while you're testing. If it starts to get too hot, you know something is wrong. Too much thermal paste or a poorly seated heatsink are the most common reasons. But don't worry about burning out your CPU - it should turn itself off long before you get to that point. About the only way it can overheat before the thermal protection kicks in is if the heatsink falls off.