Thank you for your question, Lukas. Recording EVP (electronic voice phenomena) is not in itself dangerous. People have been recording them for many years without incident. There are those who might be frightened by what the voices might say in an EVP -- especially if they perceive it as something threatening -- but perhaps those who are easily frightened should not be experimenting with it. And usually any "danger" in the investigation of anything in the paranormal realm comes from our fear of it, not from the thing itself.
In the first place, we do not yet understand where genuine EVP voices are coming from. Many assume that they are coming from spirits of the dead, but we do not know this to be true at all. They could be caused by an unconscious psychic projection from the participants, some interdimensional phenomenon, or, yes, from the "other side." But no one knows for certain, and we do not seem to be close to understanding their true nature. Much more research needs to be done.
Regarding the cemetery, there does not seem to be a strong connection between the site of a cemetery and the capturing of EVP (or ghosts and hauntings, for that matter). EVP are recorded just as easily far from cemeteries as in them.
If you approach the recording of EVP with an open mind and an attitude of curiosity, you have nothing to fear. If you think what you might hear will freak you out, then I'd say don't do it. The danger only comes from one's fear of these subjects -- or an unhealthy obsession with them, which can be equally dangerous to one's mental state.