Kali Linux on VMware

I am taking an ethical hacking course to learn more about security and currently have a Fortigate, Fortiswitch and Fortiap which has proven to be very effective in providing a secure environment against someone with malicious intent. I'm just nervous about security risks in using this in a "lab" environment. If I read up basic security precautions am I exposing myself to a lot of extra risk? I feel as though learning about the tools will make me safer in the end but I don't want to risk exposing my network if there is no way to safeguard my learning experience. Would it be safer to use Kali in the browser version (I understand it is much more limited). Should I wait until I learn more about network security as in "if you have to ask..."