Never used one myself either, but I have seen MANY threads here on steel targets and the 2 bug things to remember seem to be:
1) be far enough away from the target to avoid splatter, debris, etc (obviously wear eye protection, but you should be when shooting regardless of the target, really)
2) angle the plate/target downward at a close to 45 degree angle so ricochetes/splatter hit the ground, not you.
I'm sure people with personal experiance will show up to give you more details on what type of steel to use, how to set it up, other safety precautions, etc.