I more or less do mine the same way as the OP. Except I set the piece on my workbench rather than hold it in my hand. I do find it to be a very quick way to get this done.
The safety concerns are definitely valid, and should not be disregarded. I guess you could use some pliers or vice-grips to hang on to the ferrite rather than have your finger in there. The copper cuts so easily, if you don't mash down hard with your grinder it's a pretty smooth motion. Also, if you don't press down too hard when going through the copper, the cutting discs last for a very long time... try to just get the copper, and not dig into the ferrite too much.

Another bonus I've found by doing it this way: The yokes that have a ton of that epoxy/plastic all over them will sometimes peel off much easier off of the copper when you cut it this way, and you don't have to dig out little shards of glued-on ferrite.