Are third party NXT compatible parts safe to use?
The majority of sensors manufactured by HiTechnic (a third party company) are certified by The  Lego Group. The company's website lists the following criteria required to be certified:


  
  100% compatible with Mindstorms NXT
  Meet the highest LEGO quality standards
  Comply with all safety standards
  RoHs Compliant (certified lead free)
  


These sensors are manufactured by HiTechnic and approved by Lego are sold in the Lego.com Shop: 


#2852724 Accelerometer
#10285 Compass
#2852726 Gyroscopic
#2855040 IR (Infrared) Receiver
#2852725 IR Seeker
#2853216 IR Link


Sensors and custom parts are generally expensive. The sensors above range from $54.99-$49.99 so it would be worthwhile considering the value of the sensor before you decide to make a purchase. 

I would recommend judging the sensor(s) by their expected frequency of use, the potential for sensors to be used in other creations and their level of experience with the Mindstorms NXT system.