when installing xp SP2, after it checked my confguration it then created a restore point before going any futher with the install i believe. so this is not needed.
i did manually create a restore point myself before attempting to install sp2 as i do with most software im unsure of.
my advice is to purchase any drive image program like drive image or acronis true image and make a complete back up of you hard drive to a cdr or hard drive that you know to be good before installing anything, sp2 or any software.
installing sp2 is no more risky than installing any other software.
have a good back up to fall back on.