A rom not compiled properly can lead to bricked phone.......But, if you do it right nothing will happen and you will get a beand new firmware.
But, to be on safe side make sure you can afford losing your phone (or should I say buying new one) ....
Do more research and learn more about linux. Also, indepth knowledge of Android and OOP can surely help you.
Go through this
wiki.cyanogenmod.com/wiki/Samsung_Galaxy_S:_Compile_CyanogenMod_(Linux)
Also you will find more info there you you click on the link here or there, lolz