Hi,

One of the developers here - if you create the public/private key on your own computer, our service is 100% safe, guaranteed by math. There's a link to a youtube video showing how to generate this keypair, the video link is in the second step of creating a vanity address. (we'll put this and other videos on the frontpage asap).

It's good that you ask these questions, because any service not using split-key address generation is a security risk.
Generating the keypair in the browser (we also provide this for quick tests) is better, but not completely safe.

Read the other comments for people vouching for this method (we didn't invent this) and give it a try !