I have zero experience with this kind of relationships, but yeah, I could see where someone (and then, probably all) will get hurt at some point.
But that is with all good things ("they must come to an end").
So while things are good, go for it! Don't rush into stuff and don't see this relationship as the ultimate thing in life. Try not to let your life revolve around them.
But most of all: Enjoy! It seems like I would
Kind of a two-sided post, I know... but I meant to emphasize the 'enjoy' part!