Check out the "sticky" posting about "Need a New Key ?" at the top of this forum, there's lots of useful stuff in there. Yes, you start off the procedure with your master key to put the car into programming mode (when it starts locking and unlocking in its own), then you press the buttons on your new fob to programme it in.
You're right to be concerned about having only one key, you're in big trouble (big bill) if you lose your only master key.
I don't know if it's possible to somehow mess up the existing key with this procedure, but I don't remember anyone saying that they'd done so, so I tend to doubt it. What generally seems to happen is that it either works or it doesn't. If it doesn't work then just try it again and it will probably work, assuming you're doing the steps correctly.