There is nothing dangerous about "waggling the wings" ......It is a good exercise in coordination for a start - You look at the nose and bank left and right. With no rudder input the nose yaws opposite to the bank, with the correct inputs it doesn't. It is a very good way to learn to use the rudder properly....
I think you'd have to really manhandle the controls to loose it while waggling the wings (besides you are not cross controlled). The C17's leaving Long Beach - where they're made - usually do a few big waggles on departure.....