I'm in the process of building my own tDCS device right now. I bought the components last Saturday and built the circuit on Sunday; on Monday I built the electrodes and on Tuesday I started using it (still on the breadboard). The circuit is pretty simple, just a voltage regulator and a few pots and resistors (there are many ways to do it, this approach just happens to use a voltage regulator). There is no way a 9V battery running through this circuit could generate the hundreds of milliamperes necessary to kill, or the dozens necessary to cause harm. When resistors fail, they tend to result in an open circuit -- zero current.
My circuit currently uses two potentiometers to ramp up the current to the desired level. Even with both of them wide open, the current is only 2.4mA, which is well within the safe range. (The recommended standard is to operate between 0.5mA and 2.0mA, but an order of magnitude above that is when you start to approach hazardous levels.) And of course, I run the it through a multimeter, so I always know the output of the circuit -- before, during, and after I put on the electrodes.
I first heard about tDCS in an episode of RadioLab last summer, which gives a pretty good intro to the topic. I finally got around to actually doing it last weekend.
Thus far, my experience has been entirely positive. The only glitch was yesterday when an "intermittency" developed in my electrode cable, which resulted in some phosphene flashes (due to an alligator clip + stranded wire). So I skipped my tDCS session today, and instead used the time to build the "finished" electrode cable, with soldered joints. That problem will not recur.
On the positive side, it seems to be having the desired effect. I became interested in tDCS because I have a "condition" which results in a lot of "unwanted thoughts" -- and I have noticed a remarkable decline in the frequency of these episodes.
You can naysay all you want from your armchair, but I'm actually doing this, and it works.
For more info on safety issues check out the /r/tDCS sub-reddit's FAQ.