Is it safe to try alternative therapies to treat copd?

Depends. What are the alternative therapies and are these in place of standard treatment? For instance massage and exercise programs are beneficial and safe. Questionable medications, herbal supplements and accupuncture have little evidence to support their use.
It's rough to puff.. It depends on what alternative treatments you're considering. Complimentary treatments such as physical therapy for the lungs, i.e. Pulmonary rehab therapy, with a therapist are known to be effective in improving quality of life. If you're oxygen dependent and want to get rid of oxygen and medications in favor of some alternative you may be risking all the progress you've made to this point.