What is the actual risk of bricking when rooting for new ROM
If you're careful - risk is minimal. I do say minimal because there is no 0 risk!

Let's split this in parts.

Installing custom recovery: 
Higher risk because now you're overwriting the recovery partition of the phone. If you're in the process of overwriting and your phone shuts off, the recovery part may get corrupted. Will your phone brick though? Maybe, depending if the boot partition may also be affected. But, since your phone uses fastboot, the risk decreases.

Rooting:
Usually the least risk operation of all, since you're pushing files to the device. If it messes up, chances are factory resetting will let you start again.

Now you've got custom recovery set up and want to try out a custom ROM
Risk  - Less than installing recovery if you choose a ROM for your device. Custom ROMS usually just copy the OS onto the phone. This should not touch the recovery partition. This means that should it fail and the phone does not boot into an OS, you can still use the recovery partition to restore a backup, retry the install or try another ROM. This may change though, if you install a non One S ROM, as most ROM zips have a hardcoded partition when they modify.

So remember to read the instructions thoroughly, make sure your battery is fully charged when doing this, back up your current OS after you install custom recovery and make sure you install the ROM that is made for your device.