The main thing I would say is if at all possible H-O from the left hand side of the train, so you don't have the risk from trains in the other direction. Other than that I think the risks are slightly overblow, since clearances are very good. The only real risk is trees, but keep your eye out (bit of a pun there) and move in fast if you see any that are likely to hit you, even at low speeds a branch can hurt. Most fixed infrastructure is well clear of the train, and you would have to really lean out of a droplight or reach out to come into contact with them. Another thing, especially at higher speeds, the back of a carriage is much better than the front, since the airflow is much smoother, and in most cases it is no worse than facing into a heavy wind.
One big thing to remember about H-O though. Every year you get hundereds of railtours or other train with manhy enthusiasts with their heads out of the windows, often at fairly high speeds. This year I have done it myself on the Southern Belle, Sussex Slammer, Railfest at Norwich, quite a few miles on Slammers on the SR, and trips on 'one' and MML trains and at worst got a scratch under my chin from rubbing on a window bar during a very harsh stop (personally I think from the point of sensible H-O, window bars are more dangerous, since they stop you pulling your head in as quick), and have not heard of any serious injuriues from anyone. Infact I can't think of a single incident of an enthusiast being injured due to H-O. The rare incidents where people are injured are nearly always 'normals' who are leaning out of droplights, which is different to head out, and is impossible with window bars or quaterlights, and could be prevented by sealing all windows to about 1/3 or 1/4 height (although this would require internal door handles), and whilst I don't have evidance to back it up, I bet 9 out of 10 or more is drunk (as I expect are many of those who fall from slam doors or open platform buses, or even bus emergency exits), and many probably arn't even looking the correct way.