Driving with a shaking steering wheel may be safe depending on how bad the steering wheel is shaking and what is causing the shaking steering wheel.
Sometimes bad rough road conditions can cause a steering wheel to shake some which is normal and once you're off the rough roads then the steering wheel should stop shaking.
If your steering wheel continues shaking when driving then something is wrong and you should find the issue before it gets worse.
Sometimes a steering wheel will shake as a result of misalignment, warped brake rotors, bad tie rod ends, bad tires etc.
Brake calipers sticking could cause your steering wheel to shake as well.
If the shaking of the steering wheel is caused by something more serious then it could be dangerous to continue driving with your shaking steering wheel.
I would recommend getting the issue checked and let a mechanic know that your steering wheel is shaking.
The mechanic can take the vehicle on a short test drive and determine what is causing the shaking steering wheel.