As long as your TENS Unit is set to the lowest power you shouldn't shock yourself, in fact you might not even feel it at all until you turn it up a little. The caveat is to make sure that the pads stick and stay stuck. If one of the pads comes loose while the unit is powered on, it may arc slightly. Even then, though, it's certainly not like you're being electrocuted or anything, it's more akin to the zap of static electricity you might get after scuffing your feet on the carpet.
I have wanted to try e-stim for a long time. I've just never been sure how to place the pads - and I'm worried if I do it wrong I would shock myself. lol