Do you know what to do during a chimney fire? Call the fire department and exit the house - just like any other house fire. Many people choose not to do this, but if the fire does spread, don't you want the firefighters there already?
Insulation and air-sealing improvements to the shell of your home will always improve your comfort, regardless of the size and type of heating system installed. Weatherization may also allow the installation of a smaller, more economical heating system.