Oh no, don't worry about it. It's always stressful when you're messing with an expensive toy. I don't worry about it anymore because mine is already unlocked, and once that's done, it's smooth sailing for flashing ROMs.
You should make sure you have all the necessary components on your phone before doing anything at all. The ROM, Superuser (if you want), and install recovery on it.
Once you do all that and get recovery flashed on your phone, you can proceed to unlock it. After unlocking it (the difficult part), you can reboot into recovery. While you're in that menu, just follow the directions the dev gives you.
It's usually:
1) Nandroid backup (just choose "backup" once you're in the recovery menu and wait...a while.
2) When that's done, do "Factory Reset/Wipe Data"
3) "Wipe Cache"
4) Go to "Advanced" --> select "Wipe Dalvik Cache" (optional)
5) Go to main menu --> install from SD --> choose a zip from sd card (sd card == internal memory)
6) Find the ROM and confirm you want to flash it
7) Do the same if you're flashing superuser too
8) reboot and enjoy
Also, after you unlock, even if you run into issues after you flash the ROM, it's usually easy to get out of it. For instance: I just now tried flashing Milestone 4 Franco Kernel via his app and tried autoflashing it. It didn't download the file but rebooted anyway, attempting to install the 0-size zip. The phone wouldn't boot at all, so I just removed the battery, went into manual recovery (power button + up & down button when you power on), selected "reboot into recovery", and then reflashed the ROM without wiping (because it was the same ROM) and it's fine now.