As pointed out, it will take a while for you to get your money. I don't do CODs for this reason.
Being an FFL does not make you honest. You don't automatically have more to loose. I've know plenty of FFLs that would order stuff COD, then not have the money when it showed up because some other deal fell through. They would just refuse the shipment and you get stuck with the shipping, and your shipment floating around the carrier's system for weeks. ALOT of FFLs will do this. It'd be great to believe that an FFL automatically makes you honest, but you know that's not the case.
It's plenty safe. The shipment is not released by the carrier until payment is made.
The only person you need to be worried about being safe is yourself. If you don't do CODs, you simply won't have to do CODs. There's always someone out there that will buy your goods on your terms, or you aren't doing something right. COD protects the buyer, but does nothing for the seller that a posteal money order doesn't do, and do faster.
I would COD something to someone I knew or had delt with before. If that's the case though, I'd just take a personal check.
Ross