Nobody has ever been punished or banned for using mods.

If you're going to use mods, I recommend Nexus mods, which you seem to have found. An important mod to look into is Stracker's Loader mod, as it's required for many mods to even work properly. (Mods that need STracker's will usually specify on the site) For the most part, installing mods is up to just downloading them, then putting the given files in the nativePC folder with the folders needed.

For example, let's say for whatever reason you want a shop list mod. Maybe you missed out on some layered armor you really liked, so you're modifying the shop. You use the mod to make the custom shop list, and it gives you a file. Putting that file in the nativePC folder alone won't help, as you need the game to know what it's modifying.
So, you make the following files.
nativePC -> common -> facility -> shopList.slt
A mod will usually specify anything special needed to make it work.


If your save file is suddenly wiped, and you have a mod installed, Capcom is not responsible for anything lost (asides from maybe things paid for with real money, if they are somehow lost). The only thing I think that Capcom will bring out the ban hammer for is directly messing with their servers, or accessing paid content without spending any money.