The thing to remember is that no device which accesses any form of network is totally secure. Wireless technology provides opportunities for misuse, and it would be wrong to suggest otherwise. When you set up the dongle, make sure that you haven't got file-sharing enabled.
That said, I think a sense of perspective is a good thing here - the average user is very unlikely to experience any form of intrusion when using a wireless dongle. I've used one for years,and I've never had cause for concern. If,on the other hand, your mobile device is stuffed with Top Secret files it would not make sense to use the dongle in a crowded airport for instance, or in a coffee shop where everyone is using a laptop.