Danger rooms are dangerous, yes those blunt no quality training spears can kill.... I had a dwarf get his brain removed through his shoe, and I don't think he was wearing it as a helmet.
Different players keep saying this, but I've never ran in to the issue, and I've been using the rooms a lot lately, I have a few masterwork training spears in it too.
Make sure you don't use MENACING SPIKES, yea, that will waste your dudes quick.
Make sure you use robes and have shoes on.
Be prepared to lose pets to the room. Not that this is a bad thing, the soldiers will become hardened badasses after enough kitty gore is spread around.
I look at it this way, I run the risk of losing a soldier once in a rare while to the room, versus losing an entire squad to the first siege that shows up because of the much slower training rate.