You can die during the dragon's death animation, either by running into a lava pit or having the dragon fall on you.
Raising your MAG is important. Different MAGs grow differently even when fed the same items. You want to decide which stats will complement your character, then feed it the appropriate items. For example, Hunters and Rangers usually want more POW than anything else, but also a little DEX. I refer to these feeding charts often:
http://www.pso-world.com/images/guides/mag.pdf
If you want to get really technical, you can learn how to control every last detail of your MAG - its Photon Blasts, appearance, bonuses, and so on. There's a lot of guides here:
http://www.pso-world.com/sections.php?op=viewtopsection§ion=Mags&secver=1
Don't worry if your first MAG isn't perfect. You can find new MAGs in the Mines.