Just trying to use the updated things. Also, I want to gain the advantage of additional driver updates and better hardware compatibility as per experience with Ubuntu.
What additional changes/risks I would have to handle?
There is hardly any risk. I might even claim there is no risk.
you pick the new kernel in Grub to boot from it.
If it boots correctly at some point in time you could decide to delete the old kernel. But that is not mandatory and keeping more than one kernel to use those as a fallback is a sane decision.
The only problem you can run into is a too small boot partition. But even then it does not change the current active kernel so you can always stop, reboot, pick the kernel that did work before you started and continue to use Ubuntu.
Would you suggest me to do so?
If I was still on 14.04 I would install the new kernel. Not even for it to be the active kernel. But to get the experience of installing kernels. So to see what happens, how it works, where a problem might occur. How to fix something.
Why I want this?
Like you said yourself, newer kernel gives advantage of using newer drivers ( in the Linux terminology - modules ). In addition , newer kernels have security improvements and fixes.
Would you suggest me to do so?
The decision is yours. If you don't care about using newest drivers and pretty sure you won't be a target of malicious hackers , then stick with the kernel you have right now.
Is it safe to do so?
For the most part - yes. In the experience of 99% of the users , there should be no issues. Once you upgrade to newer kernel , older kernels are still there. So if you ever wanted to go back to old kernel , there is a way to do so. See How can I boot with an older kernel version?
What additional changes/risks I would have to handle?
Like I said before , for 99% of users there should be no risks. Make sure you have important files backed up - that's the best thing you can do to prepare for possible issues.
