Are taking the pill steroids really dangerous or is that a myth to scare people not to do them?

Varies: In an otherwise healthy person, a short term trial of steroids is reasonably safe. But steroids can potentially have severe consequences including stomach ulcers, osteoporosis, suppression of immune system, delayed would healing, just to name a few. Like all medications, there is a risk/ benefit decision process which should be discussed between you and your doctor.