If I leave my chargers plugged into the wall socket at all times, do they consume energy or present a safety risk?
It does consume energy. Feel it, it will feel warm or even hot. It doesn't use much, but it is still a good idea to not waste this. Unplug it, or buy a power strip and turn off the power strip when it isn't needed.

To find out exactly how much, you could use a Kill-a-Watt, or read the MacBook Environmental Report (PDF). The current version (MacBook, May 2010, White) says the no-load power draw is 0.010 W. The older version (MacBook, 2008, Metal body) draws 0.15 W at no load. This is quite a difference.

0.15 W means if you left it plugged in for a year you would use 1.314 Kwh. Given a price of roughly $0.20/Kwh this would cost you about 25 cents per year. If the computer is on the whole time (at 14 Kwh) the cost would be about $25/year.